VUROCS (version 1.0)

clarAdj: Adjusted Cumulative LGD Accuracy Ratio

Description

Calculates for a vector of realized categories y and a vector of predicted categories hx the cumulative LGD accuarcy ratio (CLAR) according to Ozdemir and Miu (2009) and adjusts it such that the measure has a value of zero if the two ordinal rankings are in reverse order.

Usage

clarAdj(y, hx)

Arguments

y

a vector of realized categories.

hx

a vector of predicted categories.

Value

The function returns the adjusted CLAR for a vector of realized categories y and a vector of predicted categories hx.

References

Ozdemir, B., Miu, P., 2009. Basel II Implementation. A Guide to Developing and Validating a Compliant Internal Risk Rating System. McGraw-Hill, USA.

Examples

# NOT RUN {
clarAdj(rep(1:5,each=3),c(3,3,3,rep(2:5,each=3)))
# }