predict
Predict loss given default
Description
computes the loss given default (LGD). LGD
= predict(lgdModel
,data
)
When using a Regression
model, the
predict
function operates on the underlying compact
statistical model and then transforms the predicted values back to the LGD
scale.
When using a Tobit
model, the
predict
function operates on the underlying
Tobit
regression model and returns the unconditional expected
value of the response, given the predictor values.
Examples
Input Arguments
Output Arguments
More About
References
[1] Baesens, Bart, Daniel Roesch, and Harald Scheule. Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. Wiley, 2016.
[2] Bellini, Tiziano. IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS. San Diego, CA: Elsevier, 2019.
Version History
See Also
Tobit
| Regression
| modelAccuracyPlot
| modelAccuracy
| modelDiscriminationPlot
| modelDiscrimination
| fitLGDModel