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Table 9 Variables descriptions

From: To supervise or to self-supervise: a machine learning based comparison on credit supervision

Variable

Description

Format

BCP0

Borrower’s cash performance index: realized cash flows to expected cash flows ratio. Reflects the amount paid by the borrower in relation to the contractual payment forecast. Considers a 6-month period previously to the starting date and does not net off rollovers from the amount realized

From 0 to 1, with 4 decimal places

BCP1

Borrower’s cash performance of first order index: net realized cash flows to expected cash flows ratio. Reflects the net amount paid by the borrower in relation to the contractual payment forecast. Considers a six-month period previously to the starting date and nets off rollovers from the amount realized

From 0 to 1, with 4 decimal places

Grace_period

Credit balance under grace period

Dummy (1 if yes; 0 otherwise)

BLP

Borrower’s liquidity performance index: net realized cash flows to the amount due ratio. Reflects the net amount paid by the borrower in relation to the credit balance. Considers a six-month period previously to the starting date and nets off rollovers from the amount realized

From 0 to 1, with 4 decimal places

Revolving_credit_growth

Revolving credit balance rate of change between MONTH-5 and MONTH0. (starting date)

From − 1 to + 2, with 4 decimal places

Credit_balance_1

Credit balance rate of change between MONTH-1 and MONTH0 (starting date)

From − 1 to + 2, with 4 decimal places

Credit_balance_2

Credit balance rate of change between MONTH-2 and MONTH-1

From − 1 to + 2, with 4 decimal places

Credit_balance_3

Credit balance rate of change between MONTH-3 and MONTH-2

From − 1 to + 2, with 4 decimal places

Credit_balance_4

Credit balance rate of change between MONTH-4 and MONTH-3

From − 1 to + 2, with 4 decimal places

Credit_balance_5

Credit balance rate of change between MONTH-5 and MONTH-4

From − 1 to + 2, with 4 decimal places

Credit_balance_growth

Credit balance rate of change between MONTH-5 and MONTH0. (starting date)

From − 1 to + 2, with 4 decimal places

Provisions_Bank

Credit provisions to credit portfolio ratio in the bank

From 0 to 1, with 4 decimal places

Revolving_credit

Revolving credit to credit portfolio ratio

From 0 to 1, with 4 decimal places

Credit_past_due_FS

Amount of credit past due to the credit portfolio ratio in the financial system (except for the bank)

From 0 to 1, with 4 decimal places

Credit_past_due_FS_1

Amount of credit 90 days past due to the credit portfolio ratio in the financial system (except for the bank)

From 0 to 1, with 4 decimal places

Credit_past_due_FS_2

Amount of credit 180 days past due to the credit portfolio ratio in the financial system (except for the bank)

From 0 to 1, with 4 decimal places

Write-offs_FS

Write-offs to credit portfolio ratio in the financial system

From 0 to 1, with 4 decimal places

Provisions_FS

Credit provisions to credit portfolio ratio in the financial system (except for the bank)

From 0 to 1, with 4 decimal places

Credit_due_360

Amount of credit due up to 360 days to the credit balance ratio

From 0 to 1, with 4 decimal places

Credit_due_720

Amount of credit due up to 720 days to the credit balance ratio

From 0 to 1, with 4 decimal places

Credit_due_1440

Amount of credit due up to 1440 days to the credit balance ratio

From 0 to 1, with 4 decimal places

Credit_due_1800

Amount of credit due as of 1800 days from starting date to the credit balance ratio

From 0 to 1, with 4 decimal places

Credit_past_due_Bank

Amount of credit past due to the credit balance ratio in the bank

From 0 to 1, with 4 decimal places

Credit_past_due_Bank_1

Amount of credit 90 days past due to the credit balance ratio in the bank

From 0 to 1, with 4 decimal places

Credit_past_due_Bank_2

Amount of credit 180 days past due to the credit balance ratio in the bank

From 0 to 1, with 4 decimal places

Loan

Loans to credit portfolio ratio

From 0 to 1, with 4 decimal places