May 8, 2017 Metadata from source: This research employed a binary variable, default payment (Yes = 1, No = 0), as the response variable. This study reviewed the literature and used the following 23 variables as explanatory variables: X1: Amount of the given credit (NT dollar): it includes both the individual consumer credit and his/her family (supplementary) credit X2: Gender (1 = male; 2 = female) X3: Education (1 = graduate school; 2 = university; 3 = high school; 4 = others) X4: Marital status (1 = married; 2 = single; 3 = others) X5: Age (year). X6 - X11: History of past payment. The measurement scale for the repayment status is: -1 = pay duly 1 = payment delay for one month 2 = payment delay for two months . . .; 8 = payment delay for eight months 9 = payment delay for nine months and above X6: the repayment status in September, 2005 X7: the repayment status in August, 2005 X8: the repayment status in July, 2005 X9: the repayment status in June, 2005 X10: the repayment status in May, 2005 X11: the repayment status in April, 2005 X12-X17: Amount of bill statement (NT dollar) X12 = amount of bill statement in September, 2005 X13 = amount of bill statement in August, 2005 X14 = amount of bill statement in July, 2005 X15 = amount of bill statement in June, 2005 X16 = amount of bill statement in May, 2005 X17 = amount of bill statement in April, 2005 X18-X23: Amount of previous payment (NT dollar) X18 = amount paid in September, 2005 X19 = amount paid in August, 2005 X20 = amount paid in July, 2005 X21 = amount paid in June, 2005 X22 = amount paid in May, 2005 X23 = amount paid in April, 2005 Plan: 0. Separate into train and test 1. Specify transitions as repayment status vars (maybe bucket above n months, maybe not) 2. Design response vars for separate scenarios (A to <A in n months, or over total time frame, etc.) - experiment 3. Function that: 3A. takes a response input 3B. selects the appropriate input variables (using just what came with the orig set for now) 3C. runs everything through a glm 3D. outputs model results 3E. runs against test set?
andrewcheesman/tsm
Experimenting with the transition state matrix approach to credit default modeling.
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