From: To supervise or to self-supervise: a machine learning based comparison on credit supervision
Variable | Description | Format |
---|---|---|
BCP_{0} | Borrower’s cash performance index: realized cash flows to expected cash flows ratio. Reflects the amount paid by the borrower in relation to the contractual payment forecast. Considers a 6-month period previously to the starting date and does not net off rollovers from the amount realized | From 0 to 1, with 4 decimal places |
BCP_{1} | Borrower’s cash performance of first order index: net realized cash flows to expected cash flows ratio. Reflects the net amount paid by the borrower in relation to the contractual payment forecast. Considers a six-month period previously to the starting date and nets off rollovers from the amount realized | From 0 to 1, with 4 decimal places |
Grace_period | Credit balance under grace period | Dummy (1 if yes; 0 otherwise) |
BLP | Borrower’s liquidity performance index: net realized cash flows to the amount due ratio. Reflects the net amount paid by the borrower in relation to the credit balance. Considers a six-month period previously to the starting date and nets off rollovers from the amount realized | From 0 to 1, with 4 decimal places |
Revolving_credit_growth | Revolving credit balance rate of change between MONTH_{-5} and MONTH_{0}. (starting date) | From − 1 to + 2, with 4 decimal places |
Credit_balance_1 | Credit balance rate of change between MONTH_{-1} and MONTH_{0} (starting date) | From − 1 to + 2, with 4 decimal places |
Credit_balance_2 | Credit balance rate of change between MONTH_{-2} and MONTH_{-1} | From − 1 to + 2, with 4 decimal places |
Credit_balance_3 | Credit balance rate of change between MONTH_{-3} and MONTH_{-2} | From − 1 to + 2, with 4 decimal places |
Credit_balance_4 | Credit balance rate of change between MONTH_{-4} and MONTH_{-3} | From − 1 to + 2, with 4 decimal places |
Credit_balance_5 | Credit balance rate of change between MONTH_{-5} and MONTH_{-4} | From − 1 to + 2, with 4 decimal places |
Credit_balance_growth | Credit balance rate of change between MONTH_{-5} and MONTH_{0}. (starting date) | From − 1 to + 2, with 4 decimal places |
Provisions_Bank | Credit provisions to credit portfolio ratio in the bank | From 0 to 1, with 4 decimal places |
Revolving_credit | Revolving credit to credit portfolio ratio | From 0 to 1, with 4 decimal places |
Credit_past_due_FS | Amount of credit past due to the credit portfolio ratio in the financial system (except for the bank) | From 0 to 1, with 4 decimal places |
Credit_past_due_FS_1 | Amount of credit 90 days past due to the credit portfolio ratio in the financial system (except for the bank) | From 0 to 1, with 4 decimal places |
Credit_past_due_FS_2 | Amount of credit 180 days past due to the credit portfolio ratio in the financial system (except for the bank) | From 0 to 1, with 4 decimal places |
Write-offs_FS | Write-offs to credit portfolio ratio in the financial system | From 0 to 1, with 4 decimal places |
Provisions_FS | Credit provisions to credit portfolio ratio in the financial system (except for the bank) | From 0 to 1, with 4 decimal places |
Credit_due_360 | Amount of credit due up to 360 days to the credit balance ratio | From 0 to 1, with 4 decimal places |
Credit_due_720 | Amount of credit due up to 720 days to the credit balance ratio | From 0 to 1, with 4 decimal places |
Credit_due_1440 | Amount of credit due up to 1440 days to the credit balance ratio | From 0 to 1, with 4 decimal places |
Credit_due_1800 | Amount of credit due as of 1800 days from starting date to the credit balance ratio | From 0 to 1, with 4 decimal places |
Credit_past_due_Bank | Amount of credit past due to the credit balance ratio in the bank | From 0 to 1, with 4 decimal places |
Credit_past_due_Bank_1 | Amount of credit 90 days past due to the credit balance ratio in the bank | From 0 to 1, with 4 decimal places |
Credit_past_due_Bank_2 | Amount of credit 180 days past due to the credit balance ratio in the bank | From 0 to 1, with 4 decimal places |
Loan | Loans to credit portfolio ratio | From 0 to 1, with 4 decimal places |