The vintage analysis accounts for expected losses by allowing an institution to calculate the cumulative loss rates of a given loan pool and in so doing, to determine that loan pool's lifetime expected loss experience. This includes a reasonable approximation of probable and estimable future losses gleaned by applying historical gross charge-off information to forward-looking qualitative and environmental factors.
The vintage analysis is a method of evaluating the credit quality of a loan portfolio by analyzing net charge-offs in a homogeneous loan pool where the loans share the same origination period. The method is widely used in the analysis of retail credit card and mortgage portfolios. The application uses historical charge-off rates and macro-economic variables to compute the Expected Credit Loss amount.
You can access the Vintage Model section by clicking the Vintage Model element from the LHS navigation menu of the application. Upon clicking this element, the Vintage Model section is displayed as depicted in the following figure:
Figure 35: The Vintage Model section
This page displays the existing Vintage Model definitions in the Vintage Model pane. This page also enables you to define a new Vintage Model, edit the existing definitions, view the details of the existing definition, and copy existing definitions to create new ones. You can search for an existing definition by entering the Multiple Rating definition names in the Name field and by clicking the Search button. The list is filtered to display only those definitions that match the keyword.
The Search feature enables you to filter the list of existing definitions and find the definitions that you look for. To search for definitions, enter the keyword in the Definition Name field and click the Search button.
The list of Vintage Model definitions in the Vintage Model pane is refreshed and the definitions that match with your search criteria are displayed.
The Vintage Model page enables you to create new definitions. Perform the following procedure to create a new Vintage Model definition:
1. Click the Add button, from the Vintage Model pane.
The Vintage Model Definition window is displayed.
Figure 36: The Vintage Model Definition window
2. Enter a name for the definition in the Name field.
3. Enter a description of the definition in the Description field.
4. Click the drop-down list adjacent to the Product Code field and select a product code from the available list of codes.
NOTE:
The data for this drop-down is provided by the location dimension.
5. Click the drop-down list adjacent to the Region field and select a region code from the available list of regions.
6. Enter the number of terms in the text field adjacent to the Term field.
7. Select the required Economic Variables. You can use the following buttons to select/deselect the variables between Available Variables and Selected Variables panes:
· Use the Select One icon to move the selected variables to the Selected Variables pane.
· Use the Select All icon to move all the variables to the Selected Variables pane.
· Use the Deselect One icon to move the selected variables back to the Available Variables pane.
· Use the Deselect All icon to move all the variables back to the Available Variables pane.
8. Click Save.
The saved definition is displayed in the Vintage Model pane of the Vintage Model page.
You can edit the Vintage Model definitions from the Vintage Model page. Perform the following procedure to edit an existing Vintage Model definition:
1. Select the checkbox adjacent to the Vintage Model definition you want to edit, from the Vintage Model grid.
2. Click Edit.
The Vintage Model Edit window is displayed.
3. Update the required fields.
NOTE:
You cannot modify the Name, Product Code, and Region of the definition.
4. Click Save to save the definition details.
The saved definition is displayed in the Vintage Model pane of the Vintage Model page.
The Audit Trail section at the bottom of the definition page displays the Created By, Creation Date, Last Modified By, and Last Modification Date details. The User Comments section enables you to add additional information as comments.
You can view the Vintage Model definitions from the Vintage Model page. Perform the following procedure to view an existing Vintage Model definition:
1. Select the checkbox adjacent to the Vintage Model definition you want to view, from the Vintage Model grid.
2. Click View.
The Vintage Model - View window is displayed with the definition details.
NOTE:
You cannot edit any of the fields in View mode
The copy feature enables you to use an existing definition to create a new definition. To copy an existing definition, perform the following procedure:
1. Select the checkbox adjacent to the Vintage Model definition you want to copy, from the Vintage Model pane.
2. Click Copy.
The Vintage Model Definition window is displayed.
3. Update the required fields.
4. Click Save to save the definition details.
The saved definition is displayed in the Vintage Model pane of the Vintage Model page.
You can delete an existing Multiple Rating definition from the Vintage Model Summary window.
To delete one or more existing Vintage Model definitions, perform the following procedure:
1. Select the checkbox(s) adjacent to the Vintage Model definitions you want to delete.
2. Click the Delete button from the Vintage Model grid.
A warning dialog is displayed.
3. Click Yes.
The selected definitions are removed from the Vintage Model Summary window.