topic Markov Chain Transition Probabilities Macro in SAS/IML Software and Matrix Computations

Markov Chain Transition Probabilities Macro

JonDickens1607 — Sat, 08 Oct 2016 11:14:18 GMT

Can you help me with the following problem?

I wish to construct a Markov Transition Matrix [ within Credit Risk Roll Rate Analysis ]

Basically the idea is to use empirical customer payment data to estimate the probability of a customer changing

their delinquency state within a unit of time (a month) and to embed this information in a Markov Transition Matrix.

I am looking for a SAS Macro or Program that will enable me to construct the Transition Matrix from the monthly

customer behavioural / payment data.

Possible delinquency states are as follows:

S1: Performing [ 0 to 5 Days in Arrears ]

S2: Early Stage Delinquency [ 5 to 30 Days in Arrears ]

S3: Early Stage Delinquency [ 31 to 59 Days in Arrears ]

S4: Late Stage Delinquency [ 60 to 89 Days in Arrears ]

S5: In Default [ Greater than 89 Days in Arrears ]

S6: Termination of Contract: [ Absorbing State ? ]

S7: Foreclosure / Repossession [ Absorbing State ? ]

I would appreciate any suggestions or advice that you are able to provide.

Regards

Re: Markov Chain Transition Probabilities Macro

Rick_SAS — Sat, 08 Oct 2016 12:20:58 GMT

Just to be clear, your goal is to estimate the transition probabilities from data?

Please post example data that shows the structure of your data.

Re: Markov Chain Transition Probabilities Macro

JonDickens1607 — Sat, 08 Oct 2016 16:00:29 GMT

Thank you for responding to my e-mail

I will construct a sample data set as well as the desired output
after I have sanitised the data set.

I really appreciate your help.

Regards

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