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

[Debashis Dutta]

Dear Brian,

Thanks for your kind guidance.

I have already worked with the CreditMetrics package but any of those
functions I am looking for is  not available in it.

As per your advice, I tried a R Site Search, but it could not yield any
result in any of the financial packages but some in non-financial packages.
I am reviewing it.

For further clarity of my exact requirement for functions, I enclose a
paper.

Obviously I shall share  with the list the codes I am writing. In fact  I am
wondering if I could build a package for Validation of Credit Rating Model.
Could you please advise me how to make a package in R?

Thanks a lot.

Kind Regards,
Debashis

2008/12/17 Brian G. Peterson <brian at braverock.com>

> 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
>
>
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