Modelling non event instead of event

Question

I am currently building a logistic regression model for a uni project where I want to model the 'Event' as 'default' i.e. I will be using this model to predict whether a company will not be able to pay back its loan or not.

First, let's use a proxy dataset to allow people to run the code and see some results data baseball; set sashelp.baseball; if logsalary > 6.5 then flag = 1; else flag = 0; run;

Now, I am using the current code to build the model

    ODS OUTPUT
        NOBS = numobs
            (WHERE = (label = "Number of Observations Used")
             KEEP  = label N)
        fitstatistics = fitstats
            (WHERE = (criterion = "-2 Log L")
             KEEP  = criterion InterceptAndCovariates)
        GlobalTests = global_test
            (WHERE = (test = "Wald")
             KEEP  = test ProbChiSq DF)
        parameterestimates = params
            (KEEP = variable estimate WaldChiSq ProbChiSq _ESTTYPE_)
        association = somersd
            (WHERE = (label2 = "Somers' D")
             KEEP  = label2 nvalue2)
        classification = Classification_model
    ;
    PROC LOGISTIC DESCENDING
        DATA=baseball
        PLOTS(ONLY)=NONE;
        MODEL flag (Event = '1') = CR:
        /
        SELECTION=NONE
            CTABLE
            PPROB=(0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9)
            LINK=LOGIT;
            OUTPUT OUT =  fitted_model
                          predicted = y_hat
            PREDPROBS  = INDIVIDUAL;
    RUN;
    QUIT;

Now, in my real data, I have ~300 defaults and ~40,000 non-defaults. I have tried 6,000 combinations of 26 factors. However, I get 2 significant models with somers' D of 30%

The biggest issue arises when I combine a number of factors and in the intersect, there is only 1 default to model.

My question is, if I change proc logistic to model Event = '0' i.e. model the event of non-default.

What are the implications of this? What would change when I interpret the results? Am i likely to get better results or do I still lack the ability to differentiate risk?

Code with event = '0' for reference

    ODS OUTPUT
        NOBS = numobs
            (WHERE = (label = "Number of Observations Used")
             KEEP  = label N)
        fitstatistics = fitstats
            (WHERE = (criterion = "-2 Log L")
             KEEP  = criterion InterceptAndCovariates)
        GlobalTests = global_test
            (WHERE = (test = "Wald")
             KEEP  = test ProbChiSq DF)
        parameterestimates = params
            (KEEP = variable estimate WaldChiSq ProbChiSq _ESTTYPE_)
        association = somersd
            (WHERE = (label2 = "Somers' D")
             KEEP  = label2 nvalue2)
        classification = Classification_model
    ;
    PROC LOGISTIC DESCENDING
        DATA=baseball
        PLOTS(ONLY)=NONE;
        MODEL flag (Event = '0') = CR:
        /
        SELECTION=NONE
            CTABLE
            PPROB=(0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9)
            LINK=LOGIT;
            OUTPUT OUT =  fitted_model
                          predicted = y_hat
            PREDPROBS  = INDIVIDUAL;
    RUN;
    QUIT;

Answer 1

Yes, you can choose the class that you prefer as "default" with the only consequence of zeros becoming ones and vice-versa.

However, I don't see the advantage of having 1 non-default rather than 1 default!