Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Modelling time and vintage variability in retail credit portfolios: the
  decomposition approach   In this paper, we consider the problem of modelling historical data on retail
credit portfolio performance, with a view to forecasting future performance,
and facilitating strategic decision making. We consider a situation, common in
practice, where accounts with common origination date (typically month) are
aggregated into a single vintage for analysis, and the data for analysis
consists of a time series of a univariate portfolio performance variable (for
example, the proportion of defaulting accounts) for each vintage over
successive time periods since origination. An invaluable management tool for
understanding portfolio behaviour can be obtained by decomposing the data
series nonparametrically into components of exogenous variability (E), maturity
(time since origination; M) and vintage (V), referred to as an EMV model. For
example, identification of a good macroeconomic model is the key to effective
forecasting, particularly in applications such as stress testing, and
identification of this can be facilitated by investigation of the macroeconomic
component of an EMV decomposition. We show that care needs to be taken with
such a decomposition, drawing parallels with the Age-Period-Cohort approach,
common in demography, epidemiology and sociology. We develop a practical
decomposition strategy, and illustrate our approach using data extracted from a
credit card portfolio.

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The categories of this paper are: cond-mat
24
The categories of this paper are: dg-ga
1
The categories of this paper are: cs
8
The categories of this paper are: hep-ex
6
The categories of this paper are: astro-ph
0
The categories of this paper are: hep-ph
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
15
The categories of this paper are: nucl-ex
10
The categories of this paper are: q-bio
30
The categories of this paper are: q-alg
32
The categories of this paper are: atom-ph
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The categories of this paper are: gr-qc
11
The categories of this paper are: hep-lat
27
The categories of this paper are: comp-gas
25
The categories of this paper are: patt-sol