Vintage loss methodologies have always been a great way to measure both historical and projected expected losses. It is also a popular method for certain portfolios within institutions that have adopted CECL or those that are in the pre-adoption phase. Some of the reasons a vintage model might be elected:
Captures the spirit of CECL due to its ability to calculate lifetime expected losses
Considers loss rate curves over a loan’s life cycle
Ability to use a reasonable and supportable forecast to project losses
Natively supports backtesting due to periodic losses being readily available
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