├── README.md ├── bgrd ├── constrained_threshold_lr.pdf ├── db_00_bgrd.xlsx ├── embedded_blocks.pdf ├── ensemble_blocks.pdf ├── staged_blocks.pdf ├── utils.R └── utils.py ├── concentration_risk ├── cr.pdf ├── db.csv └── imf_wp16158.pdf ├── effective_interest_rate ├── eir.html └── eir.pdf ├── figures └── cover.jpg ├── ldp ├── BCR_TABLES.xlsx ├── bcr.R ├── bcr.pdf ├── bcr.py ├── ldp_adj_af_adjustment.pdf ├── ldp_adj_af_adjustment_multi_year_opt.R ├── ldp_adj_af_adjustment_multi_year_opt.py ├── ldp_adj_af_adjustment_opt.pdf ├── ldp_adj_af_multi_year.R ├── ldp_adj_af_multi_year.py ├── ldp_bcr.pdf ├── ldp_benchmarking.csv ├── ldp_benchmarking_deviation.pdf ├── ldp_benchmarking_tendency.pdf ├── ldp_forrest.pdf ├── ldp_pluto_tasche.pdf ├── pt.R ├── pt.pdf ├── pt.py ├── utils_benchmarking_ldp.R └── utils_benchmarking_ldp.py ├── lgd ├── Joubert_Survival_Analysis_LGD.pdf ├── PoC_calibration.pdf ├── Witzany_Survival_Analysis_LGD.pdf ├── depressing_recoveries_frye.pdf ├── frye_jacobs_function.pdf ├── lgd_as_a_function_of_dr.pdf ├── lgd_survival.pdf ├── vasicek_lgd.pdf ├── vasicek_lgd_params_dist.pdf └── vasicek_lgd_q_bias_quant.pdf ├── loan_repayment_plan ├── lrp.html └── lrp.pdf ├── model_dev_and_vld ├── EBA_GL_PD_LGD.pdf ├── ECB_Instructions_for_reporting_the_validation_results.pdf ├── EGIM_2024.pdf ├── Moodys_PD_Validation.pdf ├── adf_power.pdf ├── aet.pdf ├── bin_vld.csv ├── binning_and_validation.pdf ├── bootstrap_ht.html ├── bootstrap_ht.pdf ├── c2st_test.csv ├── c2st_train.csv ├── cat_rf_bin.pdf ├── cont_target_woe_equivalent.pdf ├── db_cat_rf_bin.csv ├── db_cont_target_woe_equivalent.csv ├── db_pi.csv ├── db_poc.csv ├── db_rr.csv ├── db_smi.csv ├── db_tps.csv ├── db_welch_t_vs_mw_test.csv ├── db_woe_reg_intercept.csv ├── db_woe_rf_importance.csv ├── favorable_p_value.pdf ├── fli_dynamic_regression_models.pdf ├── fli_ols.pdf ├── fli_recursive_reg.pdf ├── fli_smi.pdf ├── hanley_mcneil_1982_auc.pdf ├── hi_cv_testing.pdf ├── hl_vs_zscore.html ├── hl_vs_zscore.pdf ├── independent_correlated_binomial_test.pdf ├── lgd_sim.csv ├── lib │ ├── crosstalk-1.2.1 │ │ ├── css │ │ │ └── crosstalk.min.css │ │ ├── js │ │ │ ├── crosstalk.js │ │ │ ├── crosstalk.js.map │ │ │ ├── crosstalk.min.js │ │ │ └── crosstalk.min.js.map │ │ └── scss │ │ │ └── crosstalk.scss │ ├── htmlwidgets-1.6.4 │ │ └── htmlwidgets.js │ ├── jquery-3.5.1 │ │ ├── jquery-AUTHORS.txt │ │ ├── jquery.js │ │ ├── jquery.min.js │ │ └── jquery.min.map │ ├── plotly-binding-4.10.4 │ │ └── plotly.js │ ├── plotly-htmlwidgets-css-2.11.1 │ │ └── plotly-htmlwidgets.css │ ├── plotly-main-2.11.1 │ │ └── plotly-latest.min.js │ └── typedarray-0.1 │ │ └── typedarray.min.js ├── marginal_information_value.pdf ├── moc_type_c_ct_autocorrelation.pdf ├── model_based_heterogeneity_testing.pdf ├── nested_dummy_encoding.pdf ├── nrf_binning.pdf ├── nt_p_values.html ├── ols_predictor_importance.pdf ├── pca.csv ├── pca.pdf ├── pd_modeling_inconsistencies.pdf ├── pd_sim.csv ├── periodic_pd_vld.pdf ├── rwa_pd.pdf ├── scorecard_scaling.pdf ├── smi_r │ ├── .Rbuildignore │ ├── DESCRIPTION │ ├── LICENSE.md │ ├── NAMESPACE │ ├── R │ │ ├── constr_ols.R │ │ ├── smi.R │ │ └── utils.R │ └── db_smi_package.csv ├── statistical_power_of_pd_pp_tests.pdf ├── third_party_rating_treatment.pdf ├── visual_support_for_ht.pdf ├── vld_and_p_value.pdf ├── vld_report_example.pdf ├── woe_level_importance.pdf └── woe_reg_intercept.pdf ├── mrm ├── Assessing_the_DP_of_LGD_models.pdf ├── CI_for_Rank_Statistics_SomersD_and_Extensions_Newson.pdf ├── LEICode_LGD_ModelID_EndOfObservationPeriod_versionNumber.xlsx ├── Model_Shift_and_Model_Risk_Management_Alan_Forrest.pdf ├── Modelling_the_economic_value_of_credit_rating_systems.pdf ├── db_dp.csv ├── dp_shortfall_and_rwa_impact_analysis.pdf ├── evrs.pdf ├── heterogeneity_and_monotonicity.pdf ├── heterogeneity_and_p_value.pdf ├── heterogeneity_and_power_analysis.pdf ├── heterogeneity_shortfall_and_portfolio_returns.pdf ├── heterogeneity_shortfall_and_rwa_impact_analysis.pdf ├── ms_db.csv ├── ms_db_1.csv ├── ms_mrm.pdf ├── ms_py │ ├── LICENSE │ ├── MANIFEST.in │ ├── pyproject.toml │ ├── setup.py │ └── src │ │ └── ModelShift │ │ ├── __init__.py │ │ ├── checks.py │ │ ├── methods.py │ │ ├── ms.py │ │ ├── utils.py │ │ └── woe.py ├── ms_r │ ├── .Rbuildignore │ ├── DESCRIPTION │ ├── LICENSE.md │ ├── Manual.html │ ├── Manual.pdf │ ├── NAMESPACE │ ├── R │ │ ├── checks.R │ │ ├── methods.R │ │ ├── ms.R │ │ ├── utils.R │ │ └── woe.R │ └── man │ │ └── ms.pd.Rd ├── mte_instability.csv ├── ols_and_mte_instability.pdf ├── pd_and_woe_encoding_instability.pdf ├── representativeness_c2st.pdf ├── rs.csv ├── utils.R ├── utils.py ├── welch_t_vs_mw_test.pdf ├── woe_instability_01.csv └── woe_instability_02.csv ├── ols ├── autocorrelation.pdf ├── heteroscedasticity.pdf ├── multicollinearity.pdf └── normality.pdf └── vasicek_distribution ├── Witzany_Vasicek_with_Logistic_Distribution.pdf ├── a-one-parameter-representation-of-credit-risk-and-transition-matrices.pdf ├── imm_vs_mle.pdf 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