Assembles the final grade table: pd_be from scr_grades(), the active
entries of the MoC ledger by category (A and B summed over their
entries, the latest C), pd_moc = pd_be + A + B + C, the PD floor of
the asset class under the framework of params, and
pd_final = max(pd_moc, floor). With philosophy = "pit" the
through-the-cycle pd_moc is converted with the one-factor bridge of
scr_pd_pit_ttc() before the floor (rho and z required).
Usage
scr_pd(
grades,
moc = NULL,
params = NULL,
asset_class = NULL,
philosophy = c("ttc", "pit"),
rho = NULL,
z = NULL
)Arguments
- grades
An
scr_grades()object, afterscr_moc().- moc
NULLusesgrades$moc; otherwise a ledger in the same format.- params
An
scr_irb_params();NULLusesconfig$framework.- asset_class
Asset class of the floor;
NULLusesconfig$asset_class.- philosophy
"ttc"(default) or"pit".- rho, z
Asset correlation and systematic factor for
"pit".
Value
An object of class scr_pd: table (grade, label,
score_lo, score_hi, n, share, defaults, dr, pd_be,
moc_a, moc_b, moc_c, pd_moc, pd_ttc, pd_pit, floor,
pd_final, floor_applied), breaks, band_grade, direction,
alignment, alignment_score, master_scale, asset_class,
framework, floor, philosophy, rho, z, moc_ledger,
calibration, concentration, portfolio (weighted pd_be,
pd_moc, pd_final, moc_bp, share_at_floor), scorecard,
ledger, model_card.
Also params_modified, repairs, dr, rows, pd_source,
grade_method, sample, target, config and, after scr_export(),
files.
Examples
cfg <- scr_config(verbose = FALSE, nthread = 1, use_ranger = FALSE,
use_lightgbm = FALSE, xgb_rounds = 40, n_boot = 10)
res <- scr_select(scr_demo, "default", config = cfg, drop = c("id", "churn"),
date_col = "ref_date")
sc <- scr_scorecard(res)
gr <- scr_moc(scr_grades(sc, n_grades = 6, min_defaults = 10), "C", method = "ci_binomial")
pd <- scr_pd(gr)
pd
#> <scr_pd> target "default" | bcb | retail_other | floor 0.05% | 4 grades | ttc
#> calibration: scorecard alignment | grades: geometric, PD source lra | HHI 0.303
#> grade score_lo score_hi n pd_be moc_a moc_b moc_c pd_moc pd_final floor
#> 1 562.85 Inf 473 3.38% 0.0 0.0 136.7 4.75% 4.75%
#> 2 535.61 562.85 500 12.80% 0.0 0.0 245.8 15.26% 15.26%
#> 3 503.12 535.61 335 26.57% 0.0 0.0 396.9 30.54% 30.54%
#> 4 -Inf 503.12 92 36.96% 0.0 0.0 827.7 45.23% 45.23%
#> portfolio: PD_BE 14.500% | MoC 283.3 bp (A/B/C in bp) | PD_final 17.333% | 0.0% of obligors at the floor
pd$table[, c("grade", "pd_be", "moc_c", "pd_final", "floor_applied")]
#> grade pd_be moc_c pd_final floor_applied
#> <int> <num> <num> <num> <lgcl>
#> 1: 1 0.03382664 0.01367268 0.04749932 FALSE
#> 2: 2 0.12800000 0.02457568 0.15257568 FALSE
#> 3: 3 0.26567164 0.03969379 0.30536544 FALSE
#> 4: 4 0.36956522 0.08277496 0.45234018 FALSE
head(predict(pd, score = c(480, 560, 640), type = "pd_final"))
#> [1] 0.45234018 0.15257568 0.04749932
head(scr_apply(pd, head(scr_demo, 5)))
#> score score_points grade pd pd_be pd_final
#> <num> <num> <int> <num> <num> <num>
#> 1: 546.5330 546 2 0.11314626 0.1280000 0.1525757
#> 2: 562.3290 562 2 0.06872463 0.1280000 0.1525757
#> 3: 560.5217 559 2 0.07284358 0.1280000 0.1525757
#> 4: 507.0636 507 3 0.33378976 0.2656716 0.3053654
#> 5: 536.7619 536 2 0.15182491 0.1280000 0.1525757
cat(tail(scr_sql(pd), 8), sep = "\n")
#> )
#>
#> -- Block 4: rating grade and final PD from the score cut points (4 grades, higher_is_safer)
#> SELECT
#> s.*,
#> CASE WHEN score <= 503.11688107909112 THEN 4 WHEN score <= 535.6113744573629 THEN 3 WHEN score <= 562.8474695224495 THEN 2 ELSE 1 END AS grade,
#> CASE WHEN score <= 503.11688107909112 THEN 0.45234017577521279 WHEN score <= 535.6113744573629 THEN 0.3053654350250784 WHEN score <= 562.8474695224495 THEN 0.15257567651855442 ELSE 0.04749931808441589 END AS pd_final
#> FROM score_scr s;