Excel Add-In

(Illustration of the Statistical Methods Explained in the Basel II Risk Parameters Book): Excel Add-In to Illustrate the Construction and Validation of Rating Models / Scorecards in Excel with the Functionality:

• Logistic regression with statistical significance test (LR Test) of the coefficients
• Calculation of ROC curves and the area below the ROC curve (AUROC)
• Calculation of confidence intervals for AUROC
• Test on the difference of AUROC of two rating models
• Statistical tests on the calibration of a rating model (Spiegelhalter, Hosmer-Lemeshow, Redelmeier)
• Pluto-Tasche method for estimating PDs of low-default portfolios
• Various auxiliary functions

Download:

    Download (Version 1.3.6, 32bit Excel): RatingAnalytics_32bit.exe
    Download (Version 1.3.6, 64bit Excel): RatingAnalytics_64bit.exe
    Download (Manual): RatingAnalytics.pdf