Synthetic monthly panel for the default engine and PD calibration

600 obligors observed over 36 months. Days past due evolve as a chain whose slip probability depends on a latent risk; arrears are proportional to the exposure, with a few obligors whose arrears stay below the absolute materiality threshold on purpose; 25 obligors are restructured from month 18; score is a behavioral score (higher = safer) with genuine rank-ordering power. Built for scr_default(), scr_default_rate() and the PD grade examples.

Usage

scr_demo_panel

Format

A data.frame with 21,600 rows and 7 columns:

id

Obligor identifier.

ref_date

Month (first day), 36 periods from 2023-01.

dpd

Days past due at the snapshot (multiples of 30).

arrears

Overdue amount.

exposure

Total exposure of the obligor (constant).

restructured

Logical distressed-restructuring flag.

score

Behavioral score, higher is safer.

Source

Synthetic. Generated by data-raw/scr_demo_panel.R, seed 20260904, in the package source repository https://github.com/evandeilton/scorecraft.

See also

Other data: scr_demo, scr_demo_ead, scr_demo_lgd, scr_demo_lgd_cashflows, scr_demo_portfolio, scr_demo_rates

Examples

head(scr_demo_panel)
#>      id   ref_date dpd arrears exposure restructured score
#> 1 O0001 2023-01-01   0       0 14430.67        FALSE   669
#> 2 O0001 2023-02-01   0       0 14430.67        FALSE   669
#> 3 O0001 2023-03-01   0       0 14430.67        FALSE   669
#> 4 O0001 2023-04-01   0       0 14430.67        FALSE   669
#> 5 O0001 2023-05-01   0       0 14430.67        FALSE   669
#> 6 O0001 2023-06-01   0       0 14430.67        FALSE   669
mean(scr_demo_panel$dpd >= 90)
#> [1] 0.02777778