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Kojimasan
Fluorite | Level 6

Hi all,

 

I have this scenario, where i have 22 months of data of balances, chargeoffs, and units open over month of book/time. If i were to add 800 more accounts to my portfolio, what would the forecasted balance, chargeoffs, and units decay over time look like?

I appreciate all the help.

MOBOpenSumTotal_CurrentLimitsTotalBalancesTotal_NetRevenueTotalCO
08555$14,204,580$724,597$18,741$0
18083$13,231,680$2,044,468$47,335$0
27641$12,750,080$2,404,794$44,057$0
37170$12,097,780$2,494,425$40,122$0
46739$11,603,780$2,425,099$37,327$0
56345$11,072,580$2,362,642$36,457$0
66038$10,658,880$2,304,736$32,787$2,056
75703$10,251,480$2,238,227$31,514$18,960
85238$9,312,180$2,141,285$28,905$13,549
94852$8,785,900$2,064,912$26,378$13,538
104497$8,422,600$1,958,612$24,109$9,433
114157$8,108,800$1,904,706$22,480$13,278
123862$7,709,800$1,814,142$22,245$5,844
133527$7,327,900$1,700,450$33,129$12,425
143216$6,913,400$1,595,645$30,890-$3,671
152958$6,420,500$1,497,002$28,749$4,226
162732$5,991,600$1,401,854$26,669$9,857
172475$5,587,950$1,294,763$24,121$5,523
182249$5,219,850$1,189,160$21,408$8,021
191966$4,740,700$1,032,205$19,220$1,854
201601$3,758,900$841,423$15,005$739
211304$3,056,400$663,451$12,444$1,557
221004$2,378,250$498,282$9,151$2,810
23724$1,727,500$363,072$6,625$2,638
24521$1,328,000$254,276$4,463$1,017
25254$615,100$123,321$1,987.
2655$148,300$31,027$544.
8 REPLIES 8
PaigeMiller
Diamond | Level 26

Well, this is a very broad question, and the answers really depend on what assumptions you make about those other 800 accounts, and what you mean by "forecasting".

 

You need to probably sit down with some subject matter experts at your institution to get some direction on how to do this.

--
Paige Miller
Kojimasan
Fluorite | Level 6

The accounts are of the same class, so let's say the original data set are only accounts in Vermont. The 800 accounts would be additional accounts only from Vermont as well we could've added but we didn't because they were rejected an account based on credit bureau data. 

And by forecasting, it could probably just be back-testing ?

 

 

PaigeMiller
Diamond | Level 26

Well, if they were rejected based on credit bureau data, you still have to make some assumptions about how these loans will perform. I can't do that for you. 

 

No, backtesting is meaningless here until you have a model, which you don't have. Forecasting here is meaningless as well, you don't have a model.

--
Paige Miller
Kojimasan
Fluorite | Level 6

What do i need in terms of performance data to develop a model?

PaigeMiller
Diamond | Level 26

Well, this is out of the realm of SAS at this point. You need to talk to someone who has expertise regarding this problem, and then make (hopefully) realistic assumptions about how these new 800 loans will perform.

--
Paige Miller
Kojimasan
Fluorite | Level 6

Turns out no one around me as implemented a model or any sort of project like this before at my job. It's a new portfolio. I have all the charge off data.

PaigeMiller
Diamond | Level 26

@Kojimasan wrote:

Turns out no one around me as implemented a model or any sort of project like this before at my job. It's a new portfolio. I have all the charge off data.


But this doesn't change my answer. Someone (not me) has to make assumptions about how the 800 loans will perform.

--
Paige Miller
Ksharp
Super User

Maybe you could try Mixed Model or GEE Model.

Check 

For Mixed Model:

PROC MIXED  

PROC GLIMMIX

 

For GEE Model:

PROC GEE

PROC GENMOD

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