Populating the Parameter Table

Computation of the Historical Loss Rate requires certain parameters to be defined. This is done with the help of Rules that populates the values in a specific Param table. The parameters are defined at a Segment or Portfolio level. The parameters that are required to be defined are the following:

• EIR Computation Flag: Identifies the Portfolios or Segments for which Transition matrices have to be created.
• Transition Matrix Type: Defines whether the matrix must be based on Rating (R) or Delinquency Past Due Days Band or DPD Bands (D).
• Transition Matrix Frequency: Indicates the frequency of the matrix as Annual (Y), Semi-Annual, or Half Yearly (H), Quarterly (Q), and Monthly (M).
• Transition Matrix Basis: Indicates if the computation happens based on the Number of Accounts (N) or Outstanding Amount (O).

Note:

Segmentation (Portfolios) is a mandatory prerequisite for the computation of the Historical Transition Matrix.