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scorecraft 0.3.0

• scr_lgd_downturn() and scr_ead_downturn() estimate the observed downturn impact, and the LGD reference value, on the training rows only, like the long-run averages; the hold-out stays independent evidence.
• scr_export(), scr_sql(file = ) and the classing lab functions follow the verbose key of the object’s configuration, as the function that fitted it does.
• The classing lab raises IV_RATIO_UNSTABLE, an advisory warning, when the train IV of a proposal is below iv_min and the hold-out/train IV ratio carries little information.
• scr_irb_params() lists the regulatory texts behind the presets; users check the tables against the texts in force before any regulatory use.
• Three vignettes: Get started, coarse classing, and scaling, alignment and challengers. The PD, LGD/EAD and capital guides are articles on the package website.
• A two-page cheat sheet ships in inst/cheatsheet (PDF and its HTML source).

scorecraft 0.2.0

The IRB layer: from the scorecard to regulatory risk parameters, with the same contracts as the scorecard pipeline (one configuration, ledgers with mandatory reasons, hold-out revalidation with frozen bins, hardened workbooks, production SQL verified against DuckDB and SQLite). Regimes are parameter tables selected by a preset, never prose.

• scr_irb_params() ships the numbers of three presets ("bcb", "basel3_final", "crr3"): PD floors, LGD input floors, foundation LGD, standardised CCFs, asset correlations, maturity rules, output floor and standardised risk weights; the tables are editable and edits are recorded.
• scr_default() builds the default flag from a monthly panel (days past due with absolute and relative materiality, unlikeliness to pay, probation, restructuring, obligor-level pulling effect); scr_default_rate() gives the default rates by cohort, grade, segment and exposure, with the long-run average and its benchmark.
• scr_bin_continuous() bins drivers against a bounded continuous target (LGD, CCF) and returns an object with the shape of the engine’s, so OptimalBinningWoE::obwoe_apply() and obwoe_sql() reproduce the bin means in R and in every SQL dialect; hold-out revalidation with frozen cut points and PSI.
• scr_config() gains the keys of stages 8 to 12 (default_*, pd_*, lgd_*, ccf_*, framework, capital_*, ecl_*), all registered in scr_config_keys() and validated.
• scr_demo_panel, scr_demo_lgd, scr_demo_lgd_cashflows, scr_demo_rates, scr_demo_ead and scr_demo_portfolio are new demonstration data.
• PD: scr_master_scale(), scr_calibrate() (intercept shift, log-odds (a, b), scaling, quasi-moment matching; a new alignment, the scorecard untouched), scr_grades() (geometric, quantile or supplied grades, merges below the minimum counts, monotone repair recorded), scr_moc() (estimation error computed; other categories with a mandatory reason), scr_pd() (floors from the preset), scr_migration(), scr_pd_validate() (Jeffreys, binomial, normal, Hosmer-Lemeshow, multi-period, AUC against the initial value, PSI, migration bandwidths, concentration; traffic lights), scr_pd_pit_ttc(), with predict(), scr_apply(), scr_sql() (grade and PD as a CASE on the score) and scr_export() methods.
• LGD: scr_workout() (discounted recoveries and costs, cures, merged re-defaults, extrapolated incomplete workouts, named funnel rules), scr_lgd() (cure stage on the binary engine, severity stage on the continuous binner with a fractional logit or a beta regression, hold-out revalidation, pools), scr_lgd_downturn(), scr_lgd_floor(), scr_elbe(), scr_lgd_validate(), with scr_apply(), scr_sql() (both stages, pool CASE, floored result) and scr_export() methods.
• EAD: scr_ead_data() (realised conversion factors under a fixed, cohort or variable horizon; conversion factor below and limit factor above a utilisation threshold; named funnel rules), scr_ead() (driver bins with admission rules, pools, estimation-error margin, standardised floor), scr_ead_downturn(), scr_ead_validate(), with scr_apply(), scr_sql() and scr_export() methods.
• Expected loss and capital: scr_el(), scr_irb_rw() (the risk-weight function with correlations, size adjustment, maturity, floors and the defaulted case), scr_sa_rw(), scr_capital() (reconciliation by segment, output floor, provisions shortfall and excess, floors impact, sensitivity grid, concentration), scr_pd_stress(), scr_ecl() (survival-weighted 12-month and lifetime expected credit loss with stages and scenarios), with scr_sql() (constants per pool, no normal quantile at run time) and scr_export() methods.
• scr_irb_rw() and scr_capital() read the supervisory LGD of the foundation approach from params$lgd_firb through a claim type; scr_sa_rw() and scr_capital() apply the non-granular retail weight with granular = FALSE; the Hosmer-Lemeshow light of scr_pd_validate() is green when every grade sits on the conservative side (the PD above the observed rate), since the statistic is two-sided.
• betareg (Suggests) powers the beta severity engine of scr_lgd().
• scr_sql() on a scorecard gains what = "all" (bin label, WOE and points of every variable next to the exact score and the whole-points score) and keep_columns (key columns carried into the output), for a deployment that reports the band of each variable with the score.
• After the documentation audit: scr_iv() ignores NA for every group type; scr_classing_read() validates the separator and the spec carries it into scr_classing_import(); the TOO_MANY_BINS screening rule can fire (the screen reads max_bins); scr_psi() stores and prints its thresholds; scr_default_rate() reports one long-run mean and benchmarks an optional lra_adjusted; one asset_class configuration key replaces pd_asset_class and capital_asset_class; scr_lgd_downturn() always records a reason; the traffic-light convention is red at or below the first threshold in PD, LGD and EAD; scr_apply() on an scr_ead takes what; scr_fetch() gains verbose and scr_run() follows config$verbose; the scr_demo columns carry English names (vl_partial_*, vl_noise_*, vl_constant, vl_near_const, vl_duplicate, vl_redundant, vl_late, ds_region, ds_band, ds_channel, ds_high_card).

Compiled kernels and big tables

• The package now compiles C++ code (‘Rcpp’ and ‘RcppArmadillo’). Thin internal R wrappers validate the input and call the kernels, which take plain vectors and matrices (never a data.table) and read the columns without copying them. The kernels are tested against their reference R implementations.
• Redundancy pruning in scr_bin() (Pearson or Spearman): each WOE column is ranked once and the correlation matrix comes from one BLAS cross-product, instead of ranking both columns of every pair. The greedy sweep gives exactly the same result as OptimalBinningWoE::obwoe_prune(), and is about 50 times faster at 150 columns.
• Somers’ D of LGD and EAD models is counted exactly in O(n log n) (Knight’s algorithm). It replaces an O(n^2) Kendall computation inside a 200-resample bootstrap. The EAD version is also exact now: it no longer groups the prediction into 60 quantile buckets.
• scr_ecl() streams the survival-weighted loss row by row and applies the scenario shocks on the fly. Memory is O(n) whatever the term (the matrix version built several n x T copies, about 2.9 GB each at n = 1e6, T = 360). Results are the same to 1e-15.
• scr_metrics() ranks the scores once; each bootstrap resample then re-tabulates counts, with no sort and no grouping by a double key. The cut-off sweep sorts once per sample. The monitor tabulates the base once for every period. Default rates by cohort use one rolling join. Every LGD cash-flow aggregation and EAD reference date is vectorised.
• Kernel threads follow config$nthread.

Correctness and numerical stability

• Wide tables: scr_triage() and the R pre-processing of scr_apply() reserve column slots before adding columns, so they no longer fail past about 1024 columns.
• Random numbers: seeds are local to the call. .Random.seed is restored on exit, and a bootstrap advances the user’s stream only by the replicate seeds it draws. Results for a given seed are unchanged.
• scr_split():
  • the target is checked for 0/1 before integer coercion (0.5 was truncated to 0);
  • text dates (as DBI returns them) and integer64 columns are read correctly;
  • rows with a missing date are reported.
• scr_bin(): under allow_derived_final = FALSE, derived flags leave before the redundancy pruning, so a flag can no longer remove a real column. The Rcpp subset-proxy warnings of OptimalBinningWoE::obwoe_gains_score() are muffled; its values are correct, and the fix belongs upstream.
• scr_config() validates every key of stages 0 to 7.
• LightGBM receives min_sum_hessian_in_leaf. The xgboost API is detected from xgb.train() (it works with xgboost 3).
• SQL string literals follow the dialect: backslashes are escaped only in MySQL, Spark/Hive/Databricks and BigQuery. A line break in a name can no longer escape an SQL comment. The scorecard’s SQL quotes identifiers as obwoe_sql() does. A row that falls in no fitted bin takes the points of WOE 0, in R and in SQL.
• Metrics and monitoring:
  • scr_metrics() refuses a factor or a non-0/1 outcome, and counts are kept in double to avoid integer overflow;
  • scr_psi() leaves bands empty in both samples out of the index and out of the degrees of freedom;
  • scr_monitor() keeps undated rows as a period;
  • a classing spec survives the CSV and xlsx round trips;
  • an export cannot be written outside the given directory.
• PD:
  • scr_default() could assign one unit’s flags to another under locales where the grouping order differed from the C-locale sort; it is fixed, and the state machine is now vectorised;
  • the PSI_ACTION gate of the LGD and EAD drivers compared against a flag scr_psi() never returns, so it never fired; it now does;
  • Hosmer-Lemeshow on fixed PDs uses K degrees of freedom;
  • the multi-period test is scaled by sd(DR_t - PD_t) (BCBS WP 14);
  • the AUC test uses the DeLong variance;
  • scr_moc() no longer edits the caller’s ledger;
  • point-in-time PDs accept a grade at zero.
• LGD and EAD:
  • scr_ead_data() paired default dates with facilities after a sort, so unsorted input put defaults on the wrong facility; it is fixed;
  • scr_ead() no longer needs data.table 1.15;
  • ccf_measure = "lf" keeps its pools;
  • a cure recovers ead + drawings - recovered;
  • the scr_elbe() uplift starts at zero at the date of default;
  • scr_lgd_downturn(), scr_lgd_floor() and scr_ead_validate() no longer modify their input.
• Capital and ECL:
  • the maturity adjustment is held at PD = 1e-5 below that point, where 1 - 1.5 b approaches zero and the risk weight exploded or turned negative without a PD floor;
  • a missing SME sales figure gets no firm-size adjustment (CRE31.9);
  • the ECL exit probability is capped at one, the LGD floored at zero, and scenario shocks and input lengths are validated.

Scorecard pipeline hardening

• scr_monitoring_plan() is the monitoring contract: created by scr_scorecard(), written to the Monitoring_Plan sheet, and read back by scr_monitor(plan = ) (a table or the strategy workbook), which now takes its PSI/CSI thresholds, alpha and min_events_per_period from it.
• scr_scorecard() stores the hold-out bin index of every variable, so the Stability_CSI_Timeline sheet is a real timeline by vintage without a scr_monitor() object.
• options(scorecraft.parallel = "fork" | "psock" | "serial") selects the parallel backend; results are identical under the three.
• scr_triage() is parallel by column as well.
• Workers never fail silently on any backend: a worker error is re-thrown with the failing item, a worker killed by the system is reported as such (instead of a NULL that surfaces later as a subscript error), warnings raised in a worker are re-raised in the parent, PSOCK workers run with a single data.table thread, and a data.table returned by a worker is re-allocated so that := works on it.
• options(scorecraft.fork_mem_fraction = 0.75) caps the fork workers by the memory available on Linux (Inf to disable), since forked workers duplicate the parent heap once the garbage collector runs.

scorecraft 0.1.0

First release. A production-grade scorecard engine for binary targets, built on ‘OptimalBinningWoE’: audit funnel, single configuration, named relaxation, first-class scale alignment, cut-off strategy and hardened deliverables.

• Seven stages, each an exported function, chained by scr_select() and scr_scorecard(): scr_split(), scr_triage(), scr_bin(), scr_model(), scr_align(), scr_cutoff()/scr_strategy()/scr_reject().
• scr_align() is a first-class stage: banded log-odds regression on the raw score composed with the PDO map, odds_orientation recorded, applied to any engine. It runs automatically inside scr_scorecard().
• scr_sql() emits production SQL in fourteen dialects: a pre-processing CTE, the WOE/BIN transformation from the authoritative cut points and, for a scorecard, the exact score plus whole points from the bin index. R-SQL equivalence is verified by test against DuckDB and SQLite.
• scr_bin() is parallelised by column (nthread), with the fits merged; the result is identical to the serial one.
• scr_metrics() always reports a bootstrap confidence interval for AUC/KS/Gini; scr_psi() reports the fixed threshold next to the sample-size-adjusted critical value of Yurdakul and Naranjo (2020).
• scr_scorecard(challenger = ) fits a tree challenger (xgboost or lightgbm) on the same WOE columns, aligned to the same scale, with supports_scorecard = FALSE.
• scr_reject() implements honest reject inference: population scope, band coverage and a 2x/4x/8x sensitivity band, never parcelling by default.
• scr_monitor() recomputes PSI/CSI (with the signed points shift) and the performance by vintage on new data; it never schedules itself.
• scr_export() writes four hardened .xlsx workbooks (selection, scorecard, validation, strategy), the SQL files and a Markdown summary.
• scr_coarse_classing() opens a manual binning lab: scr_classing_view(), scr_classing_propose() (breaks, groups, merge, split, missing_to, other_to, reset), scr_classing_accept()/scr_classing_discard() with a mandatory reason, scr_classing_choose() (keep/drop/force), scr_classing_spec()/scr_classing_read()/scr_classing_import() for a CSV/xlsx round trip, scr_classing_apply() to commit into a new scr_result, and scr_decisions() for the append-only ledger. Manual bins share the engine’s contract, so scr_scorecard(), scr_apply() and scr_sql() follow them unchanged; the funnel gains provenance.
• scr_connect() accepts any DBI driver next to an ODBC DSN, and scr_fetch() samples server-side with a dialect-aware random expression.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.