Credit scoring with class imbalance data: An out-of-sample and out-of-time perspective.

Data for predicting default risk in performance windows ranging from 12 to 60 months. For example, FM12 folder contains data on whether mortgage loan profiles with a credit score of less than 730 defaulted within 12 months of the loan origination date. A training sample is provided for each outcome window, as well as out-of-sample (OOS) and out-of-time (OOT) testing samples. OOS is generated using the same timeline as the training sample, whereas OOT is created from a future timeline. The samples are all generated using common features.