home loans first mortgage portfolio
On 7/21/09, Philip Rack <PhilRack@minequest.com> wrote:
> 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:firstname.lastname@example.org]
> 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,
>> 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
>> individual businesses PD, then you can look at the entire portfolio (or
>> segment) to determine businesses at-risk and LGD.
>> 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
>> 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
>> 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.