[R-SIG-Finance] R Code for validation of credit rating model

[Brian G. Peterson]

On Tue, December 16, 2008 4:21 pm, Debashis Dutta wrote:
> Could anybody please let me whether any R code  is available  for
> Validation of  Credit Rating Model,  like  Cumulative Accuracy Profile
> (CAP), Receiver Operating Characteristic (ROC), Brier Score or Binomial
> Test?

I would suggest that you take a look at the CreditMetrics package, as well
as at the fBonds code on r-forge (fBonds is incomplete, but there's some
good stuff in there).  Also, have you used RSitesearch to look for the
methods you mention above?  lease let the list know what you find.  Also,
please share any code that you develop to calculate any of these or
related metrics with the list, as it should not be considered proprietary.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock