I. Probability of default approach Here, three elements enter into the calculation of expected credit loss: Probability of default (PD) –this is the likelihood that your debtor will default on its debts (goes bankrupt or so) within certain period (12 months for loans in Stage 1 and life-...
_central_moment = RandomVariable::centralMoment($X, 2); $third_central_moment = RandomVariable::centralMoment($X, 3); // Skewness (population, sample, and alternative general method) $skewness = RandomVariable::skewness($X); // Optional type parameter to choose skewness type calculation. ...
(1) for the calculation of Z. Transfer of risk between populations Excess and baseline rates in Eq. (1) need to be pertinent to the target population. However, the radiation risk models are derived from epidemiological studies of certain population groups exposed to radiation. Commonly, the ...
Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9. Gross domestic product (GDP) growth has been adopted as a key determinant in PD estimation models. However, PD models ...
The data published by the Romanian Ministry of Economy, Entrepreneurship and Tourism in the list of tourist accommodation facilities is an efficient source of information for the calculation of this indicator. There are, however, other factors that the literature indicates to be relevant, such as ...
_central_moment = RandomVariable::centralMoment($X, 2); $third_central_moment = RandomVariable::centralMoment($X, 3); // Skewness (population, sample, and alternative general method) $skewness = RandomVariable::skewness($X); // Optional type parameter to choose skewness type calculation. ...
($X, RandomVariable::POPULATION_KURTOSIS) - Similar to Excel's KURT, SAS and SPSS, R (e1071) kurtosis type 2 $platykurtic = RandomVariable::isPlatykurtic($X); // true if kurtosis is less than zero $leptokurtic = RandomVariable::isLeptokurtic($X); // true if kurtosis is greater than...
($X, RandomVariable::POPULATION_KURTOSIS) - Similar to Excel's KURT, SAS and SPSS, R (e1071) kurtosis type 2 $platykurtic = RandomVariable::isPlatykurtic($X); // true if kurtosis is less than zero $leptokurtic = RandomVariable::isLeptokurtic($X); // true if kurtosis is greater than...
FYI, the "theoretical reproducibility limit" is 1e-6 (three to five ULPs of the 32-bit floating-point datatype), because XGBoost codebase does logit probability calculation dirtily. Also, XGBoost probabilities differ somewhat by version (eg. 0.6 vs 0.64 vs 0.7), because the logit probability...
($X, RandomVariable::POPULATION_KURTOSIS) - Similar to Excel's KURT, SAS and SPSS, R (e1071) kurtosis type 2 $platykurtic = RandomVariable::isPlatykurtic($X); // true if kurtosis is less than zero $leptokurtic = RandomVariable::isLeptokurtic($X); // true if kurtosis is greater than...