Credit Risk reporting is a core reporting for Credit risk management. Should be built flexibly to capture daily, weekly, monthly views.
Dimensions
On top of standard time dimension, following shall be available:
Vintage (MOB - Number of months between date due first and respective balance date)
Bucket (collections metrics only)
Type of product (loan, overdraft)
Geography
Origination channel/sales channel hierarchy
Client
Metrics
All metrics are measured with respect to given dimension (time period or other dimension)
Name | Abbreviation | Definition |
|---|---|---|
FPD 30 | Ratio of loans with 30 days past due on the 1st instalment (unit measure, weighted by provided credit for CEL or credit limit for Cards). Here, by "default" we mean a default with respect to date of due and tolerance applied. | |
1-4PD 90 | Ratio of loans with 90 days past due on any of the first four instalments (unit measure, weighted by provided credit for CEL or credit limit for Cards). Here, by "default" we mean a default with respect to date of due and tolerance applied. | |
1-9PD 90 | Ratio of loans with 90 days past due on any of the first nine instalments (unit measure, weighted by provided credit for CEL or credit limit for Cards). Here, by "default" we mean a default with respect to date of due and tolerance applied. | |
DPD structure | Split of NEA into DPD categories (0=current, 1-30, 31-61, …, 181-360). | |
360+ | Principal receivable of written-off loans with respect to Provisioning policy (i.e. portfolio on 361 DPD ever). | |
Delinquency 30+ | NEA of loans with more than 30 days past due (DPD) divided by the NEA of all loans (cf. NEA definition above). | |
Delinquency 90+ | NEA of loans with more than 90 days past due (DPD) divided by the NEA of all loans (cf. NEA definition above). | |
Unit Delinquency 30+ | Number of past due loans (written-off loans are excluded) having DPD 31+ and principal receivable > 0 divided by the number of loans (not written-off) having principal receivable > 0. | |
Unit Delinquency 90+ | Number of past due loans (written-off loans are excluded) having DPD 91+ and principal receivable > 0 divided by the number of loans (not written-off) having principal receivable > 0. |
Collections metrics
Name | Abbreviation | Definition |
|---|---|---|
Collection Effectiveness | Generally, 1 - Roll rate between successive buckets in consecutive months. | |
Current - Past Due | 1 - NEA of loans with 1-30 DPD in the respective month divided by NEA of loans with 0 DPD in the previous month. | |
PastDue - 30 | 1 - NEA of loans with 31-60 DPDin the respective month divided by NEA of loans with 1-30 DPD in the previous month. | |
30 - 60 | 1 - NEA of loans with 61-90 DPD in the respective month divided by NEA of loans with 31-60 DPD in the previous month. | |
30 - 60 | 1 - NEA of loans with 91-120 DPD in the respective month divided by NEA of loans with 61-90 DPD in the previous month. | |
Total 1-120 / 0-90 | 1 - NEA of loans with 1-120 DPD in the respective month divided by NEA of loans with 0-90 DPD in the previous month. | |
Total 1-60 / 0-30 | 1 - NEA of loans with 1-60 DPD in the respective month divided by NEA of loans with 0-30 DPD in the previous month. |
Scorecard performance
Name | Abbreviation | Definition |
|---|---|---|
Gini coefficient | Gini | The Gini coefficient measures quality of scoring models. Higher Gini means more predictive power, where Gini = 0% is the statistical equivalent of a coin toss and Gini = 100% is a completely correct prediction. |