pt_multi

Calculates the variation inflation factors of all predictors in regression models

Tool is created for regression, prediction and forecast analysis of macroeconomic and credit data.
The package includes functions from existing R packages adapted for banking sector of Kazakhstan.
The purpose of the package is to optimize statistical functions for easier interpretation for bank analysts and non-statisticians.

Sultan Zhaparov

Toolkit for Regression Analysis of Kazakhstan Banking Sector
Data

Timur Abilkassymov

Shyngys Shuneyev

Alua Makhmetova

pt_multi function

<dl><dt>pf</dt>
<dd>unconditional portfolio distribution from the worst to the best credit quality</dd>
<dt>num_def</dt>
<dd>number of defaults in a given rating class</dd>
<dt>conf_level</dt>
<dd>confidence interval of PD estimates</dd>
<dt>num_years</dt>
<dd>number of periods used in the PD estimation</dd></dl>

Arguments

Pluto-Tasche method for multi-year probability of default (PD) analysis — pt_multi

<dl>

<dt>pf</dt>
<dd>unconditional portfolio distribution from the worst to the best credit quality</dd>


<dt>num_def</dt>
<dd>number of defaults in a given rating class</dd>


<dt>conf_level</dt>
<dd>confidence interval of PD estimates</dd>


<dt>num_years</dt>
<dd>number of periods used in the PD estimation</dd>

</dl>

pt_multi: Pluto-Tasche method for multi-year probability of default (PD) analysis

Description

Usage

Arguments

Examples