Description Usage Arguments Details Value Note Examples
Calculates early arrears rolls by first pay date vintage. I.e. loans in arrears bucket 1 at month 1 and arrears 2 in month 2 etc.
1 | early_default(data, default_definition, segmenter_level, var1, var2)
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data |
a monthly loan performance level data frame in standard data dictionary format |
default_definition |
the default definition applied to the loan portfolio |
segmenter_level |
1, 2 or 3. Default = 1. When 1 then no segmentation will be done when doing vintage analysis. If 2, then segmentation will be done by to the variable entered as var1. If 3, then segmentation will be done by var1 and var2. It is very important to enter the correct value here. |
var1 |
the main variable to segment the vintage analysis by. Must be provided as "string" and must be a categorical variable. See Note below. |
var2 |
if a second level of segmentation is required, this is the second level. |
early_default
a data frame consisting of variables that represent the rate of roll straight from origination through the various arrears buckets into default. I.e. if the default definition is 3 then in month 3 (period since first pay date - fpd_period). As well as the loans in arrears 1 in month 1, 2 in month 2, etc. up to default.
the rate is calculated based on the following weights: loan_amount, count, closing_balance. A variable for each is included in the data frame. fpd_month is used as the vintage grouping variable. This view only really makes sense with fpd_month
1 2 3 | df_arrflags_test_var1_ <- early_default(df, default_definition = 3, segmenter_level = 1)
df_arrflags_test_var1_ <- early_default(df, default_definition = 3,
segmenter_level = 2, var1 = "fico_bin")
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