Collection of Tools for LGD Rating Model Development
Overview
The goal of this package is to cover the most common steps in Loss Given Default (LGD) rating model development. The main procedures available are those that refer to bivariate and multivariate analysis. In particular two statistical methods for multivariate analysis are currently implemented – OLS regression and fractional logistic regression. Both methods are also available within different blockwise model designs and both have customized stepwise algorithms. Descriptions of these customized designs are available in Siddiqi (2016) doi:10.1002/9781119282396.ch10 and Anderson, R.A. (2021) doi:10.1093/oso/9780192844194.001.0001. Although they are explained for PD model, the same designs are applicable for LGD model with different underlying regression methods (OLS and fractional logistic regression). To cover other important steps for LGD model development, it is recommended to use 'LGDtoolkit' package along with 'PDtoolkit', and 'monobin' (or 'monobinShiny') packages. Additionally, 'LGDtoolkit' provides set of procedures handy for initial and periodical model validation.
1. Internal function ``summary.tbl` renamed as `summ.tbl`` to avoid S3 conflict
2. New functions:
- ``
heterogeneity`` - validation of heterogeneity of the rating scale - ``
homogeneity`` - validation of homogeneity of the rating scale
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-06-09
- ERROR12 OK, 1 ERROR2026-06-08
- OK14 OK2026-03-10
Documentation
- Help pages
- 14
- Examples that run
- 100%13 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 0%
Downloads
Repository
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Checks run against github.com/andrija-djurovic/lgdtoolkit on 2026-10-21.
Dependencies
Installing LGDtoolkit adds 59 packages (30 with compiled code, 54 MB of source tarballs). Heaviest: stringi 11 MB, ggplot2 6.0 MB, data.table 5.7 MB.
Code & Tests
Datasets
People & History
Pick two releases to compare their code metrics.
- RR 4.6.0 released · 2026-04-24
- RR 4.5.0 released · 2025-04-11
- RR 4.4.0 released · 2024-04-24
- 0.2.0Latest
- RR 4.3.0 released · 2023-04-21
- 0.1.02023-03-08 · diff ↗
- 0.0.92023-01-30
- RR 4.2.0 released · 2022-04-22
Package metadata
- First published
- 2023-01-30
- Total releases
- 3 / 3 yrs
- License
- GPL (>= 3) OSI
- Minimum R
- ≥ 2.10
- Bundled data
- 105 KB / 1 file
- Download size
- 141 KB
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