I am trying to fit a model for a loan portfolio which have been acquired over several years, each of the loan has one of the several term periods (different performance window) over which the loan needs to be paid off. A few number of loans have charged off before the term expired and a few after the term.
The event is chargeoff (1) or not (0).
How should I define time to event? For chargeoffs, the time to event is Time to chargeoff. For non-chargeoffs, should the time be till the end of their respective term or end of the maximum term of all the terms? I tried former definition, and used Cox proportional hazard model in SAS, but my expect vs actual survival curves are way off. Any help is appreciated.