The goal of the monobin R package is to perform monotonic binning of numeric risk factor in credit rating models (PD, LGD, EAD) development. All functions handle both binary and continuous target variable. Missing values and other possible special values are treated separately from so-called complete cases.
You can install the released version of monobin from the CRAN executing the following code in R session:
install.packages("monobin")
In order to install latest version from github, you can use the following code:
library(devtools)
install_github("andrija-djurovic/monobin")
This is a basic example which shows you how to solve a problem of monotonic binning of numeric risk factors:
suppressMessages(library(monobin))
data(gcd)
<- cum.bin(x = gcd$amount, y = gcd$qual)
amount.bin 1]]
amount.bin[[$amount.bin <- amount.bin[[2]]
gcd%>% group_by(amount.bin) %>% summarise(n = n(), y.avg = mean(qual))
gcd #increase default number of groups (g = 20)
.1 <- cum.bin(x = gcd$amount, y = gcd$qual, g = 20)
amount.bin.1[[1]]
amount.bin#force trend to decreasing
cum.bin(x = gcd$amount, y = gcd$qual, g = 20, force.trend = "d")[[1]]
For more examples and package functions check the help page:
help(package = monobin)