Monotonic Binning for Credit Rating Models
Monotonic binning based on maximum cumulative target rate (MAPA)
Three-stage monotonic binning procedure
Monotonic binning driven by decision tree
Four-stage monotonic binning procedure including regression with neste...
Monotonic binning based on percentiles
Four-stage monotonic binning procedure with statistical test correctio...
Four-stage monotonic binning procedure with WoE threshold
Performs monotonic binning of numeric risk factor in credit rating models (PD, LGD, EAD) development. All functions handle both binary and continuous target variable. Functions that use isotonic regression in the first stage of binning process have an additional feature for correction of minimum percentage of observations and minimum target rate per bin. Additionally, monotonic trend can be identified based on raw data or, if known in advance, forced by functions' argument. Missing values and other possible special values are treated separately from so-called complete cases.