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Estimating credit card default probabilities.
3 messages · Keith Weintraub, Bert Gunter, Jose Iparraguirre
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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______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
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
Sounds like a Markov-chain problem. There are a number of packages that deal with this, including multi-state Markov models, hidden Markov models, and Bayesian Monte Carlo chains (msm, HHM and HiddenMarkov, MCMCpack, respectively). But you won't get much help from us as to which model to use, etc. As Bert suggested, you should post the query on a stats help list. Jos? -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Bert Gunter Sent: 25 October 2012 21:12 To: Keith Weintraub Cc: r-help at r-project.org Subject: Re: [R] 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
--
[[alternative HTML version deleted]]
______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
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 ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Age UK and YouthNet are official charities for the Virgin London Marathon 2013 We need you to Run for it. Join the team and help raise vital funds to bring generations together to combat loneliness and isolation. Go to http://www.runforit.org.uk for more information or contact Helen Parson at helen.parsons at ageuk.org.uk or on 020 303 31369. Age UK and YouthNet. A lifeline, online. www.runforit.org.uk Age UK Improving later life www.ageuk.org.uk ------------------------------- Age UK is a registered charity and company limited by guarantee, (registered charity number 1128267, registered company number 6825798). Registered office: Tavis House, 1-6 Tavistock Square, London WC1H 9NA. For the purposes of promoting Age UK Insurance, Age UK is an Appointed Representative of Age UK Enterprises Limited, Age UK is an Introducer Appointed Representative of JLT Benefit Solutions Limited and Simplyhealth Access for the purposes of introducing potential annuity and health cash plans customers respectively. Age UK Enterprises Limited, JLT Benefit Solutions Limited and Simplyhealth Access are all authorised and regulated by the Financial Services Authority. ------------------------------ This email and any files transmitted with it are confide...{{dropped:28}}