[R] Estimating credit card default probabilities.

[Jose Iparraguirre]

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.

José




-----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
>
> --
>
>
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-- 

Bert Gunter
Genentech Nonclinical Biostatistics

Internal Contact Info:
Phone: 467-7374
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