Behavioral Credit Scoring - Default Yearmonth

dincooo — Fri, 16 Dec 2016 06:52:09 GMT

Hi all,

We are developing a behavioral credit scorecard and we are not sure about including the data (Default_Flag = 1) for the same customer for different yearmonths.

For example, tihs customer defaults on 201505 and I’m including the same customer to my dataset with default flag =1 for five times.

Is it true or do I have to choose one default_flag =1 observation randomly?

Customer_ID	Year_Month	Default_Flag
101	201501	0
101	201502	0
101	201503	0
101	201504	0
101	201505	1
101	201506	1
101	201507	1
101	201508	1
101	201509	1

Any ideas would be appreciated 🙂

Many thanks,

Onur

Re: Behavioral Credit Scoring - Default Yearmonth

SASKiwi — Fri, 16 Dec 2016 21:02:17 GMT

It looks like you are tracking a single customer over time. In that case you should flag the first month that they go into default as default_flag = 1 and it should stay like that for all following months until the customer recovers (no longer in default) or the customer's loan is written off as a bad debt and closed. In the latter case you would remove the customer entirely from your data at this point as they would no longer have any lending.

topic Behavioral Credit Scoring - Default Yearmonth in SAS Risk Management

Behavioral Credit Scoring - Default Yearmonth

Re: Behavioral Credit Scoring - Default Yearmonth