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