GET THE PROBABILITY OF DEFAULT FOR NEXT 24 MONTHS - Credit Risk Model - IFRS Model

[karthik-1237]

Hi All,

I am working on developing a credit risk model using IFRS Regulations. So I have prepared the data and my first step is to find the probability of default for next 24 months using logistic regression. How do we actually get the probability of default for next 24 months for all the account ids.

And also it will be of great help if some one can share me/ guide me how to build credit risk model in Alteryx with IFRS Regulations and find the 1) Probability of Default 2) Loss Given Default 3) Exposure at Default 4) Credit Score

I am sharing you  a sample dataset.

Kindly help me in developing me a workflow for finding the above.

IS_DEFAULT : It is the target column and rest of the other columns are independent columns

ACCT_ID	LOAN_START_DATE	CURRENT_MONTH	MONTH_ON_BOOK	LOAN_TENURE	AGE	YEAR_SINCE_CUSTOMER	DISBURSED_LIMIT	GDP	INFLATION_RATE	UNEMPLOYMENT_RATE	TIME_TO_DEFAULT	IS_DEFAULT
-1936469	01-07-2017	Jan-18	6	29	39	0	5000000	4.6	3.7	2.3	0	0
-1936469	01-07-2017	Feb-18	7	29	39	0	5000000	4.6	3.7	2.3	1	1
-1962960	01-02-2017	Jan-18	11	35	38	0	300000	3.1	5.6	2.5	0	0
-1962960	01-02-2017	Feb-18	12	35	38	0	300000	3.1	5.6	2.5	1	1
-1964468	01-02-2017	Jan-18	11	29	32	2	13932	3.1	5.6	2.5	0	0
-1964468	01-02-2017	Feb-18	12	29	32	2	13932	3.1	5.6	2.5	1	0
-1964468	01-02-2017	Mar-18	13	29	32	2	13932	3.8	4.8	2.4	2	0
-1964468	01-02-2017	Apr-18	14	29	32	2	13932	3.8	4.8	2.4	3	0
-1964468	01-02-2017	May-18	15	29	32	2	13932	3.8	4.8	2.4	4	0
-1964468	01-02-2017	Jun-18	16	29	32	2	13932	4.6	3.7	2.3	5	0
-1964468	01-02-2017	Jul-18	17	29	32	2	13932	4.6	3.7	2.3	6	0
-1964468	01-02-2017	Aug-18	18	29	32	2	13932	4.6	3.7	2.3	7	0
-1965350	01-02-2017	Jan-18	11	29	25	1	27844	3.1	5.6	2.5	0	0
-1965350	01-02-2017	Feb-18	12	29	25	1	27844	3.1	5.6	2.5	1	0
-1965350	01-02-2017	Mar-18	13	29	25	1	27844	3.8	4.8	2.4	2	0
-1965350	01-02-2017	Apr-18	14	29	25	1	27844	3.8	4.8	2.4	3	0
-1965350	01-02-2017	May-18	15	29	25	1	27844	3.8	4.8	2.4	4	0
-1965350	01-02-2017	Jun-18	16	29	25	1	27844	4.6	3.7	2.3	5	0
-1965350	01-02-2017	Jul-18	17	29	25	1	27844	4.6	3.7	2.3	6	0
-1965350	01-02-2017	Aug-18	18	29	25	1	27844	4.6	3.7	2.3	7	0
-1965350	01-02-2017	Sep-18	19	29	25	1	27844	5.8	2.9	2.4	8	0
-1965350	01-02-2017	Oct-18	20	29	25	1	27844	5.8	2.9	2.4	9	0
-1965700	01-02-2017	Jan-18	11	119	52	6	750150.93	3.1	5.6	2.5	0	0

Thanks,

Karthik.