Steps followed to implement the DLMM Model in R language

Step by step implementation in R language of the internal rating models approach presented in: De Laurentis G., Maino R. and Molteni L.,, Developing, Validating and Using Internal Ratings: Methodologies and Case Studies, 2010, John Wiley & Sons, Ltd DOI:10.1002/9780470971901 -> (https://onlinelibrary.wiley.com/doi/book/10.1002/9780470971901)

This implementation follows step by step the content of Chap. 4: Developing a statistical based rating system, pp. 93-236

Step 1 – Converting SPSS formatted data -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step1)

Step 2 – One by one empirical analysis of variables -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step2)

Step 3 – Cross-tabulation 01STATUS versus Industry Sector Code -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step3)

Step 4 – Exploring graphically the probability distribution of a variable -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step4)

Step 5 – Testing the normality of the probability distribution of a variable -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step5)

Step 6 – Evaluating the good/bad discriminant power of a variable -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step6)

Step 7 – Empirical monotonicity of ROE relative to good-bad progression -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step7)

Step 8 – Correlation between variable couples -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step8)

Step 9 – Analysis of outliers -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step9)

Step 10 – Data encoding -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step10)

Step 11 – Synoptic table of variable properties -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step11)

Step 12 – Linear Discriminant Analysis – Initial approach -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step12)

Step 13 – Experimenting with Stepwise Linear Discriminant Analysis -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step13)

Step 14 – Gaussian Copula encoding scheme -> (https://github.com/MoiraCorp/DLMM-IRating-in-R/tree/main/steps/step14)