List of tests

Typically credit risk tests are specific to the model type and forecast period (typically 1-year vs multiyear period). The table below provides a simplified overview of all test that are part of this package. If you feel that some commonly used test is missing, please see section Contributing on how it can be added to the package.

For detailed information, see documentation of each test in Individual tests > Documentation.

#	Name	Area	Model types
1	Accuracy Ratio	Discrimination	PD
2	Bayesian error rate	Discrimination	PD
3	Binomial test	Calibration	PD
4	Brier score	Discrimination	PD
5	Bucket test	Predictive power	LGD
6	Hoshmer-Lemeshow test	Calibration	PD
7	Coefficient of concordance	Discrimination	PD
8	Concentration of rating grades	Concentration	PD
9	Conditional Information Entropy Ratio	Discrimination	PD
10	Cumulative LGD accuracy ratio	Discrimination	LGD
11	ELBE back-test using t-test	Discrimination	LGD
12	Herfhindahl index	Concentration	PD, LGD, CCF
13	Information value	Discrimination	PD
14	Jeffrey’s test	Discrimination	PD
15	Kendall tau	Discrimination	PD
16	Kolmogorov-Smirnov test	Discrimination	PD
17	Kullback-Leibler distance	Discrimination	PD
18	Loss Capture Ratio	Discrimination	LGD
19	Loss Shortfall	Predictive power	LGD
20	Mean Absolute Deviation	Predictive power	LGD, CCF
21	Migration matrices test	Discrimination	PD
22	Normal test	Calibration	PD
23	Population Stability Index	Stability	PD, LGD, CCF
24	Receiver Operating Characteristic	Discrimination	PD
25	Redelmeier test	Calibration	PD
26	Somers D	Discrimination	PD
27	Spearman rank correlation	Discrimination	LGD
28	Spiegehalter test	Calibration	PD
29	Stability of transition matrices	Stability	PD
30	The Pietra Index	Discrimination	PD
31	Traffic lights approach	Calibration	PD
32	Transition matrix test	Predictive power	LGD