Roll Rate Models is to evaluate the probability of an account in a specific delinquency bucket flowing into the next stage of delinquency status.
A vintage loss model is another widely used modeling technique for the loss forecasting and is similar to the roll rate model in that they both are.
Keywords: Current expected credit loss approach, loan loss provisions, procyclicality, vintage models, roll rate models, state transition models.
Roll rate model is a loan level state transition where the probability of transiting to a new state is dependent on information in current state and.
Typically, this is done for several vintages for a particular delinquency. Below is Roll rate analysis is a simple Markov Model in which the accounts are grouped.