I need some help in one of my office projects.
I am building a loan level default probability based model for 24 months (cumulative model) . So, I followed an approach of developing a cumulative default probability model for 6 months and then extrapolate the prediction from months 1 to 24.
I have used Bayes theorem for extrapolation of 6th month prediction to months 1- 24. But, it doesn’t seem to work fine with the actuals. Can you please a decision state algorithm like Bayes theorem, which I can use?