Know what was known.
SYNTHETIC EXAMPLEApplication-time features, 180-day outcome maturity and chronological train / calibration / test windows. The default demo uses generated loans and makes no claim about a real lender.
Vintage drift
Observed default rate and predicted mean by origination month.
How to read this
ROC-AUC 0.735; average precision 0.407. The vintage-block bootstrap 95% ROC-AUC interval is 0.653–0.801; only six test months are available.
Raw logistic Brier 0.155; calibration increased it to 0.158 in this run. Calibration is reported as a measured step, not assumed to improve every sample.
Scenario expected loss $663,835.47 assumes an unchanged LGD of 45% and origination principal as exposure. It is not a measured recovery loss, accounting provision, or regulatory capital estimate.
Training outcomes are mature before calibration applications; calibration outcomes are mature before test applications. Test labels never enter fitting or threshold selection.
Risk buckets
Bucket 1 has the highest predicted probability. Rates are descriptive and may be noisy.
| Bucket | Loans | Mean PD | 90+ DPD | Scenario EL |
|---|---|---|---|---|
| 1 | 48 | 54.8% | 52.1% | $179,984.69 |
| 2 | 48 | 27.6% | 31.2% | $91,583.87 |
| 3 | 48 | 20.5% | 39.6% | $86,049.15 |
| 4 | 48 | 18.1% | 33.3% | $64,520.30 |
| 5 | 48 | 14.3% | 25.0% | $56,051.37 |
| 6 | 48 | 14.3% | 16.7% | $47,018.59 |
| 7 | 48 | 14.3% | 6.2% | $51,640.55 |
| 8 | 48 | 11.2% | 8.3% | $42,989.03 |
| 9 | 48 | 9.4% | 0.0% | $33,582.43 |
| 10 | 48 | 3.3% | 10.4% | $10,415.48 |