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I have built a PD model with the "Ever 90+ in 12 months of Performance Period" as Bad. Now I would like to derive PD for 6 months from the above, still Bad being "Ever 90+" but in 6 months of performance.
PD_90P_12 = Probability of becoming 90+ in next 12 months;
PD_90P_06 = f(PD_90P_12) = Probability of becoming 90+ in next 06 months;
How will I get the function "f";
Any inputs? most welcome and thanks a lot!!