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Create `Cox`

model object for lifetime probability of
default

Create and analyze a `Cox`

model object to calculate
lifetime probability of default (PD) using this workflow:

Use

`fitLifetimePDModel`

to create a`Cox`

model object.Use

`predict`

to predict the conditional PD and`predictLifetime`

to predict the lifetime PD.Use

`modelDiscrimination`

to return AUROC and ROC data. You can plot the results using`modelDiscriminationPlot`

.Use

`modelAccuracy`

to return the root mean square error (RMSE) of observed and predicted PD data. You can plot the results using`modelAccuracyPlot`

.

creates a `CoxPDModel`

= fitLifetimePDModel(`data`

,`ModelType`

,'`AgeVar`

',agevar_value)`Cox`

PD model object.

If you do not specify variable information for
`IDVar`

, `LoanVars`

,
`MacroVars`

, and
`ResponseVar`

, then:

`IDVar`

is set to the first column in the`data`

input.`LoanVars`

is set to include all columns from the second to the second-to-last columns of the`data`

input.`ResponseVar`

is set to the last column in the`data`

input.

sets optional properties using additional
name-value pair arguments in addition to the required arguments in the
previous syntax. For example, `CoxPDModel`

= fitLifetimePDModel(___,`Name,Value`

)```
CoxPDModel =
fitLifetimePDModel(data(TrainDataInd,:),"Cox",'ModelID',"Cox_A",'Descripion',"Cox_model",'AgeVar',"YOB",'IDVar',"ID",'LoanVars',"ScoreGroup",'MacroVars',{'GDP','Market'},'ResponseVar',"Default",'TimeInterval',1)
```

creates a `CoxPDModel`

using a `Cox`

model type. You can specify multiple name-value pair arguments.

`predict` | Compute conditional PD |

`predictLifetime` | Compute cumulative lifetime PD, marginal PD, and survival probability |

`modelDiscrimination` | Compute AUROC and ROC data |

`modelAccuracy` | Compute RMSE of predicted and observed PDs on grouped data |

`modelDiscriminationPlot` | Plot ROC curve |

`modelAccuracyPlot` | Plot observed default rates compared to predicted PDs on grouped data |

[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.

[3] Breeden, Joseph.
*Living with CECL: The Modeling Dictionary.* Santa Fe, NM:
Prescient Models LLC, 2018.

[4] Roesch, Daniel and Harald
Scheule. *Deep Credit Risk: Machine Learning with Python.*
Independently published, 2020.

- Basic Lifetime PD Model Validation
- Compare Logistic Model for Lifetime PD to Champion Model
- Compare Lifetime PD Models Using Cross-Validation
- Expected Credit Loss Computation
- Compare Model Discrimination and Accuracy to Validate of Probability of Default
- Compare Probability of Default Using Through-the-Cycle and Point-in-Time Models
- Modeling Probabilities of Default with Cox Proportional Hazards
- Overview of Lifetime Probability of Default Models