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predict

Predict exposure at default

Description

example

predictedEAD = predict(eadModel,data) computes the exposure at default (EAD).

When using a Regression model, the predict function operates on the underlying compact statistical model and then transforms the predicted values back to the EAD scale.

example

predictedEAD = predict(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax.

Examples

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This example shows how to use fitEADModel to create a Tobit model and then predict exposure at default (EAD) values.

Load EAD Data

Load the EAD data.

load EADData.mat
head(EADData)
ans=8×6 table
    UtilizationRate    Age     Marriage        Limit         Drawn          EAD    
    _______________    ___    ___________    __________    __________    __________

        0.24359        25     not married         44776         10907         44740
        0.96946        44     not married    2.1405e+05    2.0751e+05         40678
              0        40     married        1.6581e+05             0    1.6567e+05
        0.53242        38     not married    1.7375e+05         92506        1593.5
         0.2583        30     not married         26258        6782.5        54.175
        0.17039        54     married        1.7357e+05         29575        576.69
        0.18586        27     not married         19590          3641        998.49
        0.85372        42     not married    2.0712e+05    1.7682e+05    1.6454e+05

rng('default');
NumObs = height(EADData);
c = cvpartition(NumObs,'HoldOut',0.4);
TrainingInd = training(c);
TestInd = test(c);

Select Model Type

Select a model type for Tobit or Regression.

ModelType = "Tobit";

Select Conversion Measure

Select a conversion measure for the EAD response values.

ConversionMeasure = "LCF";

Create Tobit EAD Model

Use fitEADModel to create a Tobit model using EADData.

eadModel = fitEADModel(EADData,ModelType,'PredictorVars',{'UtilizationRate','Age','Marriage'}, ...
    'ConversionMeasure',ConversionMeasure,'DrawnVar','Drawn','LimitVar','Limit','ResponseVar','EAD');
disp(eadModel);
  Tobit with properties:

        CensoringSide: "both"
            LeftLimit: 0
           RightLimit: 1
              ModelID: "Tobit"
          Description: ""
      UnderlyingModel: [1x1 risk.internal.credit.TobitModel]
        PredictorVars: ["UtilizationRate"    "Age"    "Marriage"]
          ResponseVar: "EAD"
             LimitVar: "Limit"
             DrawnVar: "Drawn"
    ConversionMeasure: "lcf"

Display the underlying model. The underlying model's response variable is the transformation of the EAD response data. Use the 'LimitVar' and 'DrawnVar' name-value arguments to modify the transformation.

disp(eadModel.UnderlyingModel);
Tobit regression model:
     EAD_lcf = max(0,min(Y*,1))
     Y* ~ 1 + UtilizationRate + Age + Marriage

Estimated coefficients:
                             Estimate         SE         tStat       pValue 
                            __________    __________    ________    ________

    (Intercept)                0.22735      0.025045      9.0776           0
    UtilizationRate            0.47364      0.016536      28.643           0
    Age                     -0.0013929    0.00061488     -2.2654    0.023537
    Marriage_not married     -0.006888      0.012113    -0.56863     0.56964
    (Sigma)                    0.36419     0.0038746      93.995           0

Number of observations: 4378
Number of left-censored observations: 0
Number of uncensored observations: 4377
Number of right-censored observations: 1
Log-likelihood: -1791.06

Predict EAD

EAD prediction operates on the underlying compact statistical model and then transforms the predicted values back to the EAD scale. You can specify the predict function with different options for the 'ModelLevel' name-value argument.

predictedEAD = predict(eadModel, EADData(TestInd,:),'ModelLevel','ead');
predictedConversion = predict(eadModel, EADData(TestInd,:),'ModelLevel','ConversionMeasure');

Input Arguments

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Exposure at default model, specified as a previously created Regression or Tobit object using fitEADModel.

Data Types: object

Data, specified as a NumRows-by-NumCols table with predictor and response values. The variable names and data types must be consistent with the underlying model.

Data Types: table

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: predictedEAD = predict(eadModel,EADData(TestInd,:),'ModelLevel','ead')

Model level, specified as the comma-separated pair consisting of 'ModelLevel' and a character vector or string.

Note

Regression models support all three model levels, but a Tobit model supports model levels only for 'ead' and 'conversionMeasure'.

Data Types: char | string

Output Arguments

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Exposure at default predicted values, returned as a NumRows-by-1 numeric vector.

More About

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Prediction with EAD Models

Use a Regression or Tobit model to predict EAD.

Regression or Tobit EAD models first predict on the transformed space using the underlying linear regression model, and then apply the inverse transformation to return predictions on the EAD scale.

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.

[3] Brown, Iain. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications. SAS Institute, 2014.

[4] Roesch, Daniel and Harald Scheule. Deep Credit Risk. Independently published, 2020.

Introduced in R2021b