Date: Tue, 21 Jul 2009 09:25:52 -0400
Reply-To: Philip Rack <PhilRack@MINEQUEST.COM>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: Philip Rack <PhilRack@MINEQUEST.COM>
Subject: Re: Credit risk - probability of default question
In-Reply-To: <f0b7509d0907210558s2aa3cf5bp2a77f7454785f603@mail.gmail.com>
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Your statistician/quant should be providing you with formulas for each
factor to use for these calculations. For example, they need to supply the
equation, the weights (if any) and the raw inputs. What kind of portfolio
are you attempting to analyze?
Philip Rack
MineQuest, LLC
SAS & WPS Consulting and WPS Reseller
Tel: (614) 457-3714
Web: www.MineQuest.com
Blog: www.MineQuest.com/WordPress
-----Original Message-----
From: SAS Kid [mailto:sasloving.kid@gmail.com]
Sent: Tuesday, July 21, 2009 8:59 AM
To: Philip Rack
Cc: SAS-L@listserv.uga.edu
Subject: Re: Credit risk - probability of default question
thank you Philip
is there an example anywhere
I wonder why we need to use the transition matrix then
On 7/21/09, Philip Rack <PhilRack@minequest.com> wrote:
> I don't believe you can get to the loan level this way. I don't know the
> loan types that you are analyzing but for sake of simplicity, look at
> mid-sized business loans. The PD is calculated based on attributes such as
> the number of days past 30 that the business has past-due accounts
> receivables, liquid assets available, owners and cosigners FICO Scores,
> etc...
>
> Those attributes are scored and added together (i.e. past-due AR's might
> account for 30% of the total PD) and then used in a model. Once you have
an
> individual businesses PD, then you can look at the entire portfolio (or
> segment) to determine businesses at-risk and LGD.
>
> Phil
>
> Philip Rack
> MineQuest, LLC
> SAS & WPS Consulting and WPS Reseller
> Tel: (614) 457-3714
> Web: www.MineQuest.com
> Blog: www.MineQuest.com/WordPress
>
>
> -----Original Message-----
> From: SAS(r) Discussion [mailto:SAS-L@LISTSERV.UGA.EDU] On Behalf Of SAS
Kid
> Sent: Monday, July 20, 2009 10:34 PM
> To: SAS-L@LISTSERV.UGA.EDU
> Subject: Credit risk - probability of default question
>
> I have a Probability of default question
>
> I am currently using a delinquency transition matrix to see how
> delinquencies migrate from
> 0 to 30 days, 30days to 60days, 60 to 90, 90 to 120 etc. I have a 5 by 5
> matrix and i have row percentages
> in each cell to see how probability of default migrates month to month.
> I use proc freq to get this matrix.
>
> My row percent in each cell
> ( which i call probability of default) = count in each cell/total number
of
> loans in that row.
>
> The probabilities which i get from this matrix is at the segment level.
> However i like to compute probability of default at the loan level. I
> wonder how
> i can get probability of default at the loan level ? ultimately this is
> going to help me with expected loss calculations. I understand different
> products could have different default definitions.
>
> Any reference or help is appreciated.
>
> Thank you.
>
>
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