Create Cyclical Factor Models

Perform the following steps to create cyclical factors models:

1. On the Cyclical Factors Model Summary page, click the Add icon to open the Cyclical Factor Models window.
2. Populate the Cyclical Factor Model - Basic Details form as tabulated:

   Figure 6-5 Cyclical Factor Model - Basic Details

   
   

   

   
   

   Table 6-6 Cyclical Factor Model - Basic Details

   Field	Description
   Name	Enter a name.
   Description	Enter a description for the definition.
   Folder	Select a folder from the drop-down list
   Modelling Set	Select a modelling set from the drop down list.
   Economic Scenario Rule	Select an economic scenario rule from the drop down list.
   Portfolio Rule	Select a portfolio rule from the drop down list.
   Computation Basis	Select a computation basis from the drop down list. The available options are: Count Movement Value Movement
   Frequency	Select a frequency from the drop-down list. The available options are: Monthly Quarterly Half Yearly Annually

3. Populate the Cyclical Factor Models - Historical Data Window form as tabulated:

   Figure 6-6 Cyclical Factor Model - Historical Data

   
   

   

   
   

   Table 6-7 Cyclical Factor Model - Historical Data Window

   Field	Description
   From Date	Select the Select Date. icon and select a from date.
   To Date	Select the Select Date. icon and select a to date.
   Projection Period	Enter a numeric value in this field. This is a mandatory field.

4. Populate the Cyclical Factor Models - Model Variables Selection form as tabulated:

   Figure 6-7 Cyclical Factor Model - Model Variables Selection

   
   

   

   
   

   Table 6-8 Cyclical Factor Model - Model Variables Selection

   Field	Description
   Country	Select a country from the drop-down list.
   Region	Select a region from the drop-down list.
   Macroeconomic Variable Selection	Select a value from the drop-down list.
   Sustainability Variables	Select a value from the drop-down list and then click the Add icon to add the entry to the table. Carbon Price Index - Select this entry and then click the Add icon to add the entry to the table Financed Emission - When this variable is selected, the Operation drop-down field appears. Select either Average or Weighted Average. Note: If a sustainability variable has been added to the table, it cannot be added again. You can click the Delete icon to delete the variable and then add it again.

5. Populate the Cyclical Factor Model - Feature Engineering form as tabulated:

   Figure 6-8 Cyclical Factor Model - Feature Engineering

   
   

   

   
   

   Table 6-9 Cyclical Factor Model - Feature Engineering

   Field	Description
   Model Training Dataset	Enter a value in this field.
   Missing Data Threshold	Enter a value in this field.
   Complete Dataset Training	This field is enabled by default. Click the slider if you do not want to do a complete dataset training.
   Automated Features Selection	This field is enabled by default. Click the slider if you do not want the automated features selection.
   VIF Threshold	Enter a value in this field. The default value is 5.
   Observed Default Rate	In this pane, define the observed default rates: Lower Cap- Enter a numeric value in this field to define the lower cap. Decimal values are supported in this field. Upper Cap- Enter a numeric value in this field to define the upper cap. Decimal values are supported in this field. Imputation- Select a value from the drop-down list: Median Mean Rolling Mean Rolling Median
   Model Variables	This table is populated based on the configurations that were done in the Sustainability Variables pane. In this table, you can modify the values in the Imputation, Interpolation, Aggregation, Data Treatment, Period, and Lag columns. Click Edit, to modify the variable. Additionally, click the Refresh icon to refresh the changes.

6. Click Save and then submit to save the cyclical factor model and then submit it to the approver or click Cancel to exit this window.

   Note:

   For to execute a predict run, the definition must be submitted first.