<div dir="ltr"><div>Dear Brian,</div>
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<div>Thanks for your kind guidance.</div>
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<div>I have already worked with the CreditMetrics package but any of those functions I am looking for is not available in it.</div>
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<div>As per your advice, I tried a R Site Search, but it could not yield any result in any of the financial packages but some in non-financial packages. I am reviewing it.</div>
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<div>For further clarity of my exact requirement for functions, I enclose a paper.</div>
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<div>Obviously I shall share with the list the codes I am writing. In fact I am wondering if I could build a package for Validation of Credit Rating Model. Could you please advise me how to make a package in R?</div>
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<div>Thanks a lot.</div>
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<div>Kind Regards,</div>
<div>Debashis </div>
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<div class="gmail_quote">2008/12/17 Brian G. Peterson <span dir="ltr"><<a href="mailto:brian@braverock.com" target="_blank">brian@braverock.com</a>></span><br>
<blockquote class="gmail_quote" style="PADDING-LEFT: 1ex; MARGIN: 0px 0px 0px 0.8ex; BORDER-LEFT: #ccc 1px solid">
<div>On Tue, December 16, 2008 4:21 pm, Debashis Dutta wrote:<br>> Could anybody please let me whether any R code is available for<br>> Validation of Credit Rating Model, like Cumulative Accuracy Profile<br>> (CAP), Receiver Operating Characteristic (ROC), Brier Score or Binomial<br>
> Test?<br><br></div>I would suggest that you take a look at the CreditMetrics package, as well<br>as at the fBonds code on r-forge (fBonds is incomplete, but there's some<br>good stuff in there). Also, have you used RSitesearch to look for the<br>
methods you mention above? lease let the list know what you find. Also,<br>please share any code that you develop to calculate any of these or<br>related metrics with the list, as it should not be considered proprietary.<br>
<br>Regards,<br><br> - Brian<br><font color="#888888"><br>--<br>Brian G. Peterson<br><a href="http://braverock.com/brian/" target="_blank">http://braverock.com/brian/</a><br>Ph: 773-459-4973<br>IM: bgpbraverock<br><br></font></blockquote>
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