R Graphical Manual

Browse All

Last data update: 2014.03.03

R: Plot Results of Probability of Default Calibration

QMMPlot

R Documentation

Plot Results of Probability of Default Calibration

Description

Plot detailed results of probability of default calibration using Quasi Moment Matching algorithm.

Usage

QMMPlot(x)

Arguments

`x`	Output of `QMMRecalibrate` function.

Details

Plot contains conditional PD (probability of default) values:

before re-calibration (sample Central Tendency and AR (accuracy ratio));

after re-calibration (target Central Tendency and AR);

upper confidence interval PDs (target Central Tendency and target AR minus one standard deviation of sample AR);

lower confidence interval PDs (target Central Tendency and target AR plus one standard deviation of sample AR).

Value

Plot of conditional PDs.

Note

In case rating.type is 'RATING', PD plot is produced against unconditional cumulative portfolio distribution.
In case rating.type is 'SCORE', PD plot is produced against scores.

Author(s)

Denis Surzhko <densur@gmail.com>

References

Tasche, D. (2009) Estimating discriminatory power and PD curves when the number of defaults is small. Working paper, Lloyds Banking Group.
Tasche, D. (2013) The art of probability-of-default curve calibration. Journal of Credit Risk, 9:63-103.

Examples

pd <- c(0.2, 0.1, 0.005, 0.001, 0.001)
porfolio <- c(100, 200, 200, 200, 100)
qmm <- QMMRecalibrate(0.05, pd, porfolio, rating.type = 'RATING')
QMMPlot(qmm)

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(LDPD)
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/LDPD/QMMPlot.Rd_%03d_medium.png", width=480, height=480)
> ### Name: QMMPlot
> ### Title: Plot Results of Probability of Default Calibration
> ### Aliases: QMMPlot
> ### Keywords: credit risk probability of default PD calibration
> 
> ### ** Examples
> 
> pd <- c(0.2, 0.1, 0.005, 0.001, 0.001)
> porfolio <- c(100, 200, 200, 200, 100)
> qmm <- QMMRecalibrate(0.05, pd, porfolio, rating.type = 'RATING')
> QMMPlot(qmm)
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>