Main Content

Compute AUROC and ROC data

computes the area under the receiver operating characteristic curve (AUROC).
`DiscMeasure`

= modelDiscrimination(`lgdModel`

,`data`

)`modelDiscrimination`

supports segmentation and comparison
against a reference model and also alternative methods to discretize the LGD
response into a binary variable.

`[`

specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.`DiscMeasure`

,`DiscData`

] = modelDiscrimination(___,`Name,Value`

)

[1] Baesens, Bart, Daniel
Roesch, and Harald Scheule. *Credit Risk Analytics: Measurement
Techniques, Applications, and Examples in SAS.* Wiley,
2016.

[2] Bellini, Tiziano.
*IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical
Guide with Examples Worked in R and SAS.* San Diego, CA: Elsevier,
2019.

`fitLGDModel`

| `modelAccuracy`

| `modelAccuracyPlot`

| `modelDiscriminationPlot`

| `predict`

| `Regression`

| `Tobit`