Offline Credit Risk Modelling, Calibration and Validation

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Documentation for package ‘creditratingsystem’ version 0.1.0

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A B C D E F G H I J K L M N O P R S T U V W

-- A --

affordability_stress_backtest Verify Frozen Household Stress Assessments
aggregate_household_obligations Point-in-Time Retail Records and Household Obligations
aggregate_netting_set_exposure Signed Netting, Collateral Unit Ledgers and Frozen Closeout Exposure
aggregate_portfolio_loss Joint Path, Exclusive Event and Portfolio Loss Expectations
allocate_expected_shortfall Portfolio Loss Distribution, Tail Allocation and Concentration
allocate_guarantee_coverage Dated relationships and explicit risk adjustment contracts
apply_assessment_event Dated local ratings, immutable model versions and historical replay
apply_calibrator Fit and Apply Frozen Probability Calibration
apply_cash_waterfall Contractual Debt Service and Cash Conserving Waterfalls
apply_credit_decision_policy Compile, evaluate and explain local credit decision policies
apply_guarantee_risk Dated relationships and explicit risk adjustment contracts
apply_override Dated relationships and explicit risk adjustment contracts
apply_parent_support Dated relationships and explicit risk adjustment contracts
apply_qualitative_adjustments Estimated logistic scorecards, odds scales and contribution explanations
apply_rating_constraints Dated relationships and explicit risk adjustment contracts
apply_satellite_model Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
assemble_joint_application Application evidence, selection-aware targets and conditional risk
assess_affordability Explicit Affordability Ratios and Income Surplus
assess_counterfactual_robustness Shared Finite Counterfactual Robustness Scenarios
assess_expert_rating_agreement Documented Expert Probabilities, Agreement and Exact Finite Networks
assess_policy_robustness Held-Out Policy Evaluation, Constrained Selection and Robustness
assess_rating_applicability Dated local ratings, immutable model versions and historical replay
assess_transfer_applicability Explicit Payment Restrictions and Transfer Default Risk
asset_pool_backtest Observed Asset-Pool and Tranche Cash Validation
assign_default_groups Dated relationships and explicit risk adjustment contracts
assign_delinquency_state Dated Behavioral Account Risk and State Dynamics
assign_model_role Dated Local Model Roles and Monitoring Escalation
assign_retail_risk_pool Frozen Retail Pools and Local Risk Parameters
asymptotic_factor_loss Portfolio Loss Distribution, Tail Allocation and Concentration
auc_gini Observed binary-outcome validation and exact common-PD count testing

-- B --

benchmark_predictions Paired Frozen Predictions and Dated Rating Benchmarks
benchmark_ratings Paired Frozen Predictions and Dated Rating Benchmarks
binomial_pd_test Observed binary-outcome validation and exact common-PD count testing
block_bootstrap_scenarios Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
bootstrap_cds_hazard_curve Local Market Credit Pricing, Calibration and Historical Physical PD
brier_score Observed binary-outcome validation and exact common-PD count testing
build_account_month_panel Dated Behavioral Account Risk and State Dynamics
build_application_snapshot Application evidence, selection-aware targets and conditional risk
build_application_targets Application evidence, selection-aware targets and conditional risk
build_behavioral_targets Dated Behavioral Account Risk and State Dynamics
build_bnpl_obligation_features Dated BNPL Purchase Plans and Allocated Obligations
build_bureau_features Dated Bureau, Thin-File and Income Evidence
build_calculation_context Build an Explicit Reproducible Calculation Context
build_collections_action_history Dated Collections Episodes, Operational Cure and Recovery Economics
build_collections_episodes Dated Collections Episodes, Operational Cure and Recovery Economics
build_credit_asset_pool Dated Structured Pools, Static Tranche Loss and Borrowing Bases
build_credit_quote_snapshot Local Market Credit Pricing, Calibration and Historical Physical PD
build_cure_targets Dated Collections Episodes, Operational Cure and Recovery Economics
build_customer_household_graph Point-in-Time Retail Records and Household Obligations
build_debt_schedule Contractual Debt Service and Cash Conserving Waterfalls
build_distributed_lags Frozen training transformations and auditable financial features
build_entity_graph Dated relationships and explicit risk adjustment contracts
build_financial_ratios Frozen training transformations and auditable financial features
build_monitoring_cohorts Mature-outcome monitoring, distribution drift and paired diagnostics
build_observation_windows Local typed credit data and dated observation preparation
build_payment_history_features Historical Retail Payment and Revolving Features
build_rating_subjects Dated local ratings, immutable model versions and historical replay
build_recovery_episodes Local typed credit data and dated observation preparation
build_retail_sme_features Explicit Small-Business and Household Cash Interactions
build_revolving_features Historical Retail Payment and Revolving Features
build_selection_dataset Selection Mechanisms, Reject Inference and Honest Evidence Scopes
build_thin_file_features Dated Bureau, Thin-File and Income Evidence
build_transaction_features Booked Cashflow and Retail Liquidity Features
build_vintage_performance Dated Behavioral Account Risk and State Dynamics

-- C --

calibrate_beta Explicit Calibration, Uncertainty and Model Selection
calibrate_bond_hazard_curve Local Market Credit Pricing, Calibration and Historical Physical PD
calibrate_distance_pd_mapping Asset-based valuation, terminal default, first passage and empirical calibration
calibrate_grade_pd Explicit Calibration, Uncertainty and Model Selection
calibrate_intercept Fit and Apply Frozen Probability Calibration
calibrate_isotonic Fit and Apply Frozen Probability Calibration
calibrate_lgd_level Explicit Calibration, Uncertainty and Model Selection
calibrate_logistic Fit and Apply Frozen Probability Calibration
calibration_curve Observed binary-outcome validation and exact common-PD count testing
calibration_intercept_slope Observed binary-outcome validation and exact common-PD count testing
cds_expected_cashflow_legs Local Market Credit Pricing, Calibration and Historical Physical PD
check_assessment_freshness Dated local ratings, immutable model versions and historical replay
check_expert_preference_consistency Documented Expert Probabilities, Agreement and Exact Finite Networks
classify_monitoring_findings Dated Local Model Roles and Monitoring Escalation
closeout_exposure_at_default Signed Netting, Collateral Unit Ledgers and Frozen Closeout Exposure
collections_backtest Validate Dated Collections Cashflow Forecasts
combined_loan_to_value Explicit Affordability Ratios and Income Surplus
combine_default_transfer Explicit Payment Restrictions and Transfer Default Risk
combine_pd_signals Compatible PD Pooling, Held-Out Stacking and Frozen Model Graphs
compare_cds_bond_credit_basis Local Market Credit Pricing, Calibration and Historical Physical PD
compare_challenger_cohorts Mature-outcome monitoring, distribution drift and paired diagnostics
compare_offer_risk Application evidence, selection-aware targets and conditional risk
compile_credit_decision_policy Compile, evaluate and explain local credit decision policies
compile_discrete_bayesian_network Documented Expert Probabilities, Agreement and Exact Finite Networks
compile_qualitative_rubric Frozen Qualitative Rubrics and Dated Structured Evidence
compose_risk_assessment Dated local ratings, immutable model versions and historical replay
compute_credit_ale Supported First and Purified Second-Order Accumulated Local Effects
compute_credit_ice Feasible Ordered Local Credit Prediction Paths
compute_days_past_due Dated Behavioral Account Risk and State Dynamics
compute_limit_frontier Local Limit, Quote and Treatment Scenario Economics
compute_risk_based_price_grid Local Limit, Quote and Treatment Scenario Economics
compute_woe_iv Frozen training transformations and auditable financial features
conditional_pd_from_cumulative Default curve inversion, annual hazards and rating migration
condition_macro_paths Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
content_fingerprint Canonical Content Fingerprint for Local Data Contracts
counterparty_expected_loss Joint Path, Exclusive Event and Portfolio Loss Expectations
counterparty_exposure_backtest Validate Frozen Counterparty Exposure and Closeout Forecasts
covered_bond_dual_recourse Capped issuer, cover-pool and residual-estate recovery
credit_concentration_measures Portfolio Loss Distribution, Tail Allocation and Concentration
credit_loss_distribution Portfolio Loss Distribution, Tail Allocation and Concentration
credit_permutation_importance Frozen Held-Out Grouped Permutation Importance
cumulative_pd_from_conditional First-Default Probabilities from Period Hazards

-- D --

debt_service_to_income Explicit Affordability Ratios and Income Surplus
debt_to_income Explicit Affordability Ratios and Income Surplus
decision_policy_backtest Historical Decision-Policy Backtest
decompose_hybrid_prediction Compatible PD Pooling, Held-Out Stacking and Frozen Model Graphs
decompose_policy_decision Compile, evaluate and explain local credit decision policies
default_count_backtest Observed binary-outcome validation and exact common-PD count testing
dependent_pd_backtest Observed binary-outcome validation and exact common-PD count testing
detect_cashflow_default Cashflow Double Test and Independent Default Triggers
detect_credit_feature_drift Mature-outcome monitoring, distribution drift and paired diagnostics
detect_pd_calibration_drift Mature-outcome monitoring, distribution drift and paired diagnostics
diagnose_fairness_slices Mature-outcome monitoring, distribution drift and paired diagnostics
diagnose_market_credit_identifiability Local Market Credit Pricing, Calibration and Historical Physical PD
discount_recoveries Dated Recovery Valuation and Raw Economic Workout LGD
distance_to_default Asset-based valuation, terminal default, first passage and empirical calibration

-- E --

ead_backtest Frozen Loss, Survival, Population and Migration Validation
estimate_credit_shapley_values Frozen Linear and Grouped Shapley Credit Attribution
estimate_downturn_lgd Declared Adverse-Scenario Conditional LGD Comparison
estimate_long_run_pd Estimate observed long-run annual default rates
estimate_margin_of_conservatism Explicit Calibration, Uncertainty and Model Selection
estimate_multistate_transitions Frozen survival, competing-risk and multistate models
estimate_open_workout_lgd Residual Terminal Payouts and Open Workout Valuation
estimate_pool_risk_parameters Frozen Retail Pools and Local Risk Parameters
estimate_population_risk_aipw Selection Mechanisms, Reject Inference and Honest Evidence Scopes
estimate_recurring_expenses Explicit Affordability Ratios and Income Surplus
estimate_retail_roll_rates Dated Behavioral Account Risk and State Dynamics
estimate_simulation_risk Sampling Aware Default and Joint Loss Estimates
estimate_survival_curve Frozen survival, competing-risk and multistate models
estimate_tranche_credit_metrics Definition-specific tranche risk and paired structure stress
estimate_transition_matrix Default curve inversion, annual hazards and rating migration
evaluate_decision_grid Held-Out Policy Evaluation, Constrained Selection and Robustness
evaluate_model_graph Compatible PD Pooling, Held-Out Stacking and Frozen Model Graphs
evaluate_qualitative_evidence Frozen Qualitative Rubrics and Dated Structured Evidence
evaluate_treatment_candidates Local Limit, Quote and Treatment Scenario Economics
event_conditioned_loss Joint Path, Exclusive Event and Portfolio Loss Expectations
expected_collections_value Dated Collections Episodes, Operational Cure and Recovery Economics
expected_loss Expected Default Loss
expected_loss_from_paths Joint Path, Exclusive Event and Portfolio Loss Expectations
explain_linear_credit_prediction Frozen Linear and Grouped Shapley Credit Attribution
exposure_schedule Dated Drawn Exposure Schedules and Realized Conversion Factors

-- F --

find_feasible_credit_counterfactual Finite-Domain Feasible Credit Counterfactual Search
first_passage_pd Asset-based valuation, terminal default, first passage and empirical calibration
fit_aft_model Frozen survival, competing-risk and multistate models
fit_bayesian_pd Proper-prior Bayesian logit and probit posterior simulation
fit_beta_lgd Frozen Conditional LGD Mean and Distribution Models
fit_binary_glm Estimate and Apply Binary Probability Models
fit_cause_specific_hazards Frozen survival, competing-risk and multistate models
fit_copula Explicit Dependence Models and Addressed Innovations
fit_cox_ph Frozen survival, competing-risk and multistate models
fit_discrete_hazard Frozen survival, competing-risk and multistate models
fit_discriminant_pd Portable probabilistic classification models and explicit raw scores
fit_dynamic_factor Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
fit_ead_model Frozen CCF Conditional Means and Direct EAD Distributions
fit_elicited_beta_prior Documented Expert Probabilities, Agreement and Exact Finite Networks
fit_fine_gray Frozen survival, competing-risk and multistate models
fit_firth_logit Portable probabilistic classification models and explicit raw scores
fit_fractional_lgd Frozen Conditional LGD Mean and Distribution Models
fit_gam_pd Constrained logistic spline models and portable tree ensembles
fit_gradient_boosting_pd Constrained logistic spline models and portable tree ensembles
fit_hierarchical_calibration Explicit Calibration, Uncertainty and Model Selection
fit_joint_selection_model Selection Mechanisms, Reject Inference and Honest Evidence Scopes
fit_market_to_physical_pd_bridge Local Market Credit Pricing, Calibration and Historical Physical PD
fit_model_selection_protocol Explicit Calibration, Uncertainty and Model Selection
fit_monotone_bins Frozen training transformations and auditable financial features
fit_naive_bayes_pd Portable probabilistic classification models and explicit raw scores
fit_neural_pd Native portable MLP, GRU and LSTM credit likelihood models
fit_ordinal_model Portable probabilistic classification models and explicit raw scores
fit_penalized_glm Portable probabilistic classification models and explicit raw scores
fit_preprocessor Frozen training transformations and auditable financial features
fit_random_forest_pd Constrained logistic spline models and portable tree ensembles
fit_recovery_hurdle Residual Terminal Payouts and Open Workout Valuation
fit_regime_switching Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
fit_regularization_path Explicit Calibration, Uncertainty and Model Selection
fit_retail_risk_pools Frozen Retail Pools and Local Risk Parameters
fit_satellite_model Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
fit_scorecard Estimated logistic scorecards, odds scales and contribution explanations
fit_selection_propensity Selection Mechanisms, Reject Inference and Honest Evidence Scopes
fit_sequence_pd Native portable MLP, GRU and LSTM credit likelihood models
fit_stacked_pd Compatible PD Pooling, Held-Out Stacking and Frozen Model Graphs
fit_stepwise Explicit Calibration, Uncertainty and Model Selection
fit_svm_score Portable probabilistic classification models and explicit raw scores
fit_var Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
fit_vecm Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
fit_zero_one_inflated_lgd Frozen Conditional LGD Mean and Distribution Models
fuzzy_reject_augmentation Selection Mechanisms, Reject Inference and Honest Evidence Scopes

-- G --

generate_asset_pool_reference_world Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_challenge_cases Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_facility_workouts Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_macro_reference_world Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_obligor_panel Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_retail_reference_world Offline Synthetic Credit Worlds with Shared Actual Innovations
generate_system_event_reference_world Offline Synthetic Credit Worlds with Shared Actual Innovations

-- H --

hazard_to_pd Default curve inversion, annual hazards and rating migration
hosmer_lemeshow_test Observed binary-outcome validation and exact common-PD count testing

-- I --

importance_sample_defaults Gaussian Importance Sampling for First Default and Loss
incremental_credit_risk Portfolio Loss Distribution, Tail Allocation and Concentration
infer_discrete_credit_network Documented Expert Probabilities, Agreement and Exact Finite Networks
infer_merton_assets Asset-based valuation, terminal default, first passage and empirical calibration

-- J --

joint_default_probability Explicit Dependence Models and Addressed Innovations
join_as_of Local typed credit data and dated observation preparation

-- K --

ks_discrimination Observed binary-outcome validation and exact common-PD count testing

-- L --

lgd_backtest Frozen Loss, Survival, Population and Migration Validation
lifetime_expected_loss Joint Path, Exclusive Event and Portfolio Loss Expectations
load_fitted_model Exchange Versioned Local Model Artifacts
log_loss Observed binary-outcome validation and exact common-PD count testing
low_default_bound Explicit Calibration, Uncertainty and Model Selection

-- M --

make_grouped_temporal_splits Local typed credit data and dated observation preparation
make_shared_innovations Explicit Dependence Models and Addressed Innovations
map_pd_to_grade Validate an Explicit Rating Scale and Assign PD Grades
marginal_pd_from_conditional First-Default Probabilities from Period Hazards
merton_default_probability Asset-based valuation, terminal default, first passage and empirical calibration
merton_equity_value Asset-based valuation, terminal default, first passage and empirical calibration
monitor_rating_cohort Mature-outcome monitoring, distribution drift and paired diagnostics

-- N --

normalize_income_period Explicit Affordability Ratios and Income Surplus

-- O --

override_monitoring Dated Override and Separately Observed Stage Validation

-- P --

parcel_rejected_applications Selection Mechanisms, Reject Inference and Honest Evidence Scopes
pit_ttc_transform Explicit Gaussian factor PIT and TTC transformation
poisson_binomial_pd_test Observed binary-outcome validation and exact common-PD count testing
pool_expert_probability_distributions Documented Expert Probabilities, Agreement and Exact Finite Networks
population_reweighting Explicit Calibration, Uncertainty and Model Selection
population_stability Frozen Loss, Survival, Population and Migration Validation
predict_application_risk Application evidence, selection-aware targets and conditional risk
predict_behavioral_risk Dated Behavioral Account Risk and State Dynamics
predict_cure_and_redefault Ordered Cure and Subsequent Re-Default Projections
predict_ead Frozen CCF Conditional Means and Direct EAD Distributions
predict_event_curves Frozen survival, competing-risk and multistate models
predict_lgd Frozen Conditional LGD Mean and Distribution Models
predict_model_score Portable probabilistic classification models and explicit raw scores
predict_pd Estimate and Apply Binary Probability Models
prepare_credit_portfolio Shared Default Groups, Portfolio Migration and Paired Dependence Stress
prepare_reject_evaluation Selection Mechanisms, Reject Inference and Honest Evidence Scopes
project_retail_roll_rates Dated Behavioral Account Risk and State Dynamics
project_transition_matrix Default curve inversion, annual hazards and rating migration

-- R --

rank_credit_reason_codes Consolidate Stored Model and Policy Reasons
rate_subject_batch Dated local ratings, immutable model versions and historical replay
rating_migration_backtest Frozen Loss, Survival, Population and Migration Validation
read_local_dataset Local typed credit data and dated observation preparation
realized_ccf Dated Drawn Exposure Schedules and Realized Conversion Factors
receivables_borrowing_base Dated Structured Pools, Static Tranche Loss and Borrowing Bases
reconcile_card_authorizations Reconcile Dated Card Authorizations and Settlements
reconcile_income_evidence Dated Bureau, Thin-File and Income Evidence
register_rating_model_version Dated local ratings, immutable model versions and historical replay
reject_inference_bounds Selection Mechanisms, Reject Inference and Honest Evidence Scopes
reject_inference_sensitivity Selection Mechanisms, Reject Inference and Honest Evidence Scopes
release_candidate_assessment Assess Explicit System and Release Evidence
replay_assessment_history Dated local ratings, immutable model versions and historical replay
replay_consistency Audit Source Lineage and Frozen Historical Replay
resample_fit_uncertainty Explicit Calibration, Uncertainty and Model Selection
residual_income Explicit Affordability Ratios and Income Surplus
resolve_parent_links Dated relationships and explicit risk adjustment contracts
retail_pool_diagnostics Validation of Frozen Retail Risk Pools
reverse_stress_scenario Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
risky_bond_expected_cashflows Local Market Credit Pricing, Calibration and Historical Physical PD
rollback_model_assignment Dated Local Model Roles and Monitoring Escalation
roll_rate_backtest Retail Cohort and Exact Monthly Transition Validation
route_rating_profile Dated local ratings, immutable model versions and historical replay
run_tranche_waterfall Contractual tranche cash accounts and payment priorities

-- S --

scale_score_points Estimated logistic scorecards, odds scales and contribution explanations
scorecard_reason_codes Estimated logistic scorecards, odds scales and contribution explanations
score_scorecard Estimated logistic scorecards, odds scales and contribution explanations
selection_bias_sensitivity Validation of Frozen Selection Candidates
selection_ipw_weights Selection Mechanisms, Reject Inference and Honest Evidence Scopes
select_constrained_policy Held-Out Policy Evaluation, Constrained Selection and Robustness
select_effective_model Dated local ratings, immutable model versions and historical replay
sensitivity_analysis Simulation Precision and Evaluated Frozen Model Sensitivity
serialize_fitted_model Exchange Versioned Local Model Artifacts
simulate_asset_pool Dated asset pool cashflows with shared default events
simulate_asset_values Explicit Operating Cashflows and Physical Asset Paths
simulate_collateral_margin Signed Netting, Collateral Unit Ledgers and Frozen Closeout Exposure
simulate_contract_counterparties Shared Counterparty Defaults and Contract Cashflow Interruptions
simulate_copula Explicit Dependence Models and Addressed Innovations
simulate_credit_portfolio Shared Default Groups, Portfolio Migration and Paired Dependence Stress
simulate_macro_scenarios Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
simulate_operating_cashflows Explicit Operating Cashflows and Physical Asset Paths
simulate_portfolio_migrations Shared Default Groups, Portfolio Migration and Paired Dependence Stress
simulate_recovery_waterfall Dated Recovery Allocation on Shared Default Events
simulate_repayment_arrangement Dated Collections Episodes, Operational Cure and Recovery Economics
simulate_structural_paths Asset-based valuation, terminal default, first passage and empirical calibration
simulate_trade_receivables Invoice cashflows with shared debtor, seller and servicer events
simulate_transactions Execute Frozen Transaction Cash Pools on Shared Scenarios
simulation_convergence Simulation Precision and Evaluated Frozen Model Sensitivity
solve_contagion_network Dated relationships and explicit risk adjustment contracts
spiegelhalter_test Observed binary-outcome validation and exact common-PD count testing
stress_affordability Explicit Affordability Ratios and Income Surplus
stress_pool_counterparties Counterparty netting, collateral and replacement cash stress
stress_portfolio_factor_structure Shared Default Groups, Portfolio Migration and Paired Dependence Stress
stress_tranche_structure Definition-specific tranche risk and paired structure stress
support_transfer_backtest Dated Override and Separately Observed Stage Validation
survival_backtest Frozen Loss, Survival, Population and Migration Validation

-- T --

tranche_loss_from_pool Dated Structured Pools, Static Tranche Loss and Borrowing Bases
transfer_event_default_probability Explicit Payment Restrictions and Transfer Default Risk
transfer_loss_components Explicit Payment Restrictions and Transfer Default Risk
transform_features Frozen training transformations and auditable financial features
transform_macro_history Release-Aware Macro Dynamics, Cycle Laws and Satellite Transmission
transition_assessment_state Dated local ratings, immutable model versions and historical replay

-- U --

update_expert_beta_binomial Documented Expert Probabilities, Agreement and Exact Finite Networks
update_odds_from_evidence Documented Expert Probabilities, Agreement and Exact Finite Networks

-- V --

validate_credit_dataset Local typed credit data and dated observation preparation
validate_dependence_matrix Explicit Dependence Models and Addressed Innovations
validate_probability Validate Probability Values
validate_rating_scale Validate an Explicit Rating Scale and Assign PD Grades
validate_retail_cohort Retail Cohort and Exact Monthly Transition Validation
validate_retail_dataset Point-in-Time Retail Records and Household Obligations
validate_source_lineage Audit Source Lineage and Frozen Historical Replay
validate_synthetic_world Offline Synthetic Credit Worlds with Shared Actual Innovations
validate_system_coverage Assess Explicit System and Release Evidence
validation_report Assess Explicit System and Release Evidence
vintage_backtest Fixed Origination Vintage Backtest

-- W --

workout_lgd Dated Recovery Valuation and Raw Economic Workout LGD