Function Library

The function library provides various functions for calculating values of business figures that the user can apply in the Control File.

Default of Borrowers — The Default of Borrowers function simulates the default of borrowers.

Excel-like functions

Abs — The Abs function calculates the value of a business figure as the absolute value of another value. This value itself can be the value of another business figure.
Absolute Adjustment — The Absolute Adjustment function adjusts the value of a business figure by an absolute amount using basic arithmetic operations.
Conditions — The Conditions function can be used to calculate the value of a business figure according to the occurrence of certain conditions.
Fixed Value — The Fixed Value function overwrites the value of a business figure with an absolute amount. This amount can be the value of another business figure, which itself can be adjusted using the basic arithmetic operations.
Mathematical Functions — The following mathematical functions can be used to determine the value of a business figure. The arguments of the functions can themselves be values of other business figures.
Max — The Max function calculates the value of a business figure as the maximum of other values. These values can themselves be values of other business figures.
Min — The Min function calculates the value of a business figure as the minimum of other values. These values can themselves be values of other business figures.
Relative Adjustment — The Relative Adjustment function increases or decreases the value of a business figure by a relative amount.
Sum — The Sum function calculates the value of a business figure as the sum of values of other business figures.

Forecast Parameter — The Forecast Parameter function uses forecasts of external parameters (such as a reference rate) to calculate business figures.

Forecast PD — The Forecast PD function calculates probabilities of default for each rating/scoring class depending on changes to an external parameter (such as a reference rate).

Forecast Trend — The Forecast Trend function uses for the calculation of business figures the historical time series of the values of the business figure and continues the value of this time series. It is automatically determined whether a linear, logarithmic or exponential continuation should be used.

Linear Regression — The Linear Regression function performs a linear regression to calculate business figures. One (simple linear regression) or several (multiple linear regression) independent variables can be considered.

Moving Average — The Moving Average function uses a moving average over a determinable number of periods to calculate business figures.

Straight Line — The Straight Line function determines and uses the historical (constant) growth rate for the calculation of business figures.

Volume Change — The Volume Change function calculates a percentage value by which the value of a business figure is adjusted depending on changes to an external parameter (such as a reference rate). Forecasts of the external parameter are used to reflect individual estimations of the change.

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