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Downturn CCF per pool

Source: R/ead.R
scr_ead_downturn.Rd

Quantifies the downturn component of the CCF from user-supplied downturn periods. "type1" (observed impact) takes, per pool, the default-weighted average of the realized values of the training events whose default date falls in the periods (the hold-out stays independent) and sets ccf_dt = max(lra, observed); "type3" (long-run average plus add-on) sets ccf_dt = lra + add_on; "none" resets ccf_dt = lra. The pool table is recomputed (ccf_final, ccf_applied) and the ledger records the periods, the method and the reason.

Usage

scr_ead_downturn(
  x,
  periods = NULL,
  method = NULL,
  add_on = 0.15,
  reason = NULL
)

Arguments

x

An scr_ead() object.

periods

A data.frame with start and end dates of the downturn periods (needed for "type1").

method

"type1", "type3" or "none"; NULL uses config$ccf_downturn.

add_on

Add-on of the "type3" method, in CCF units.

reason

Text justifying the periods and the method; mandatory.

Value

The scr_ead object with downturn (a list with method, periods, add_on and the per-pool table: pool, lra, n_downturn, dt_observed, dt_type3, ccf_dt), the updated pools and a new ledger row. The table also carries ccf_final and ccf_applied; the object n_rows_in_periods and reason.

See also

Other irb-ead: scr_bin_continuous(), scr_ead(), scr_ead_data(), scr_ead_validate()

Examples

cfg <- scr_config(verbose = FALSE, n_boot = 20, nthread = 1)
ed <- scr_ead_data(scr_demo_ead, facility_id = "facility_id", date_col = "ref_date",
                   limit = "limit", drawn = "drawn", defaulted = "defaulted",
                   drivers = c("product", "months_on_book"), config = cfg)
m <- scr_ead(ed, drivers = c("utilisation_ref", "product"), config = cfg)
m2 <- scr_ead_downturn(m, periods = data.frame(start = as.Date("2024-01-01"),
                                               end = as.Date("2024-12-01")),
                       reason = "2024 chosen as the stress year of the demo panel")
m2$downturn$table
#>      pool       lra n_downturn dt_observed  dt_type3    ccf_dt ccf_final
#>    <char>     <num>      <int>       <num>     <num>     <num>     <num>
#> 1:     P1 0.3400611         26   0.3882968 0.4900611 0.3882968 0.4859478
#> 2:     P2 0.5348808         41   0.5615728 0.6848808 0.5615728 0.6512281
#> 3:     LF 0.8726786          7   0.8726786 1.0226786 0.8726786 0.9962084
#>    ccf_applied
#>          <num>
#> 1:   0.4859478
#> 2:   0.6512281
#> 3:   0.9962084