Model & calculation
6aaaae4a4e849060a61879bd
Exposure snapshot
- Segment
- VEHICLE_LOAN
- Accounts
- 361
Calibration (PD)
- Kind
- vasicek
- ρ
- 0.0124
- Forward 12m PD
- 2.09%
Model version
- Name
- VEHICLE_LOAN v1
- Status
- approved
- Scenarios
- 3
ECL run engine
- Weighting
- ecl
- EAD
- amortizing
Output
- Total ECL
- ₹9,12,69,903.37
- Accounts
- 359
PD engine — Vasicek
Turns past default history into a forward-looking 12-month default probability (PD). Each value below is defined in plain English.
TTC PD
1.99%
Through-the-cycle: long-run average default rate, smoothing good and bad years. The baseline.
Mean PIT
-2.0680
Average point-in-time credit score on a bell-curve scale. More negative = safer.
SD PIT
0.1118
How much default risk wobbles quarter to quarter. Lower = more stable book.
ρ (Asset correlation)
0.0124
Do borrowers default together (high) or independently (low)? · mom · mom — · mle —
K (Capital factor)
-2.0552
Default threshold: a borrower defaults if financial health falls below this line.
Forward 12m PD
2.09%
Headline output: chance an average loan defaults in the next 12 months, given the forecast economy.
No MEV regression
Forward Z came from a provided scalar (no uploaded MEV series).
ρ sensitivity
If ρ (asset correlation) were different, this is how the forward 12-month PD would shift — a stress test on a hard-to-estimate assumption. The marked point is the value actually used.
Nothing to chart
No data for this selection yet.
Lifetime PD term structure
View data table
| Year | Cumulative PD | Survival |
|---|---|---|
| Y1 | 2.09% | 97.91% |
| Y2 | 4.14% | 95.86% |
| Y3 | 6.15% | 93.85% |
| Y4 | 8.11% | 91.89% |
Per-account calculation
Representative account: VL0003S1Trigger: no SICR trigger
12m PD2.17%×LGD48.76%×EAD₹1,03,000.00=Model ECL₹1,089.71→ discount @EIR12.00%→ max(model,RBI floor₹1,030.00)=Final ECL₹1,089.71
Assumptions
LGD
- Secured LGD
- 25.00%
- Unsecured LGD
- 65.00%
- Recovery rate
- 80.00%
- Recovery lag
- 12 mo
- Unsecured recovery
- 10.00%
- Downturn multiplier
- 1.2000
EAD
- Amortizing
- Yes
- CCF
- 0.00%
- Prepayment rate
- 0.00%
SICR
- DPD backstop
- 30 days
- PD rel. threshold
- 200.00%
- PD abs. threshold
- 5.00%
- Cure period
- 12 mo
- Watchlist
- Yes
- Restructure
- Yes
RBI Floor (VEHICLE_LOAN)
- Stage 1
- 1.00%
- Stage 2
- 5.00%
- Stage 3
- 25.00%
Scenario weights
- base
- 40.00% · Z -0.2954
- downside
- 35.00% · Z -1.1000
- upside
- 25.00% · Z 0.4500