Date: Tue, 21 Jul 2009 08:37:45 -0500 SAS Kid "SAS(r) Discussion" SAS Kid Re: Credit risk - probability of default question To: Philip Rack <003901ca0a06\$c55e65e0\$501b31a0\$@com> text/plain; charset=ISO-8859-1

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: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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