Estimating credit card default probabilities.
You might have better luck posting on stats.stackexchange.com, a statistical help list. -- Bert
On Thu, Oct 25, 2012 at 1:08 PM, Keith Weintraub <kw1958 at gmail.com> wrote:
Folks,
I am working on a credit card defaults and transition probabilities. For example a single credit card account could be in a number of states: up-to-date, 30, 60, 90 days in arrears or in default.
* Are there packages in R that do estimation of the transition probabilities given historical cohort defaults?
* Any pointers to papers specific to this type of estimation?
* Simulation of future "paths" of defaults.
I know this is not strictly an R question so please feel free to slam me.
Afterwards I would appreciate any pointers you might have.
Thanks much for your time,
KW
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Bert Gunter Genentech Nonclinical Biostatistics Internal Contact Info: Phone: 467-7374 Website: http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm