منابع مشابه
Modelling consumer credit risk via survival analysis
Credit risk models are used by financial companies to evaluate in advance the insolvency risk caused by credits that enter into default. Many models for credit risk have been developed over the past few decades. In this paper, we focus on those models that can be formulated in terms of the probability of default by using survival analysis techniques. With this objective three different mechanis...
متن کاملRecent developments in consumer credit risk assessment
Consumer credit risk assessment involves the use of risk assessment tools to manage a borrower’s account from the time of pre-screening a potential application through to the management of the account during its life and possible write-off. The riskiness of lending to a credit applicant is usually estimated using a logistic regression model though researchers have considered many other types of...
متن کاملCredit Risk Modeling for Online Consumer Loans
Institutional investors and investment managers seek to better characterize the credit risk of online consumer loans. This article describes how to prepare the data and build a credit risk model that can be used for a number of applications including generating alpha, issuing protection and securitizing loans into bonds with the desired risk/reward profile. A simple example is used to provide i...
متن کاملModelling Credit Risk in portfolios of consumer loans: Transition Matrix Model for Consumer Credit Ratings
The corporate credit risk literature has many studies modelling the change in the credit risk of corporate bonds over time. There is far less analysis of the credit risk for portfolios of consumer loans. However behavioural scores, which are commonly calculated on a monthly basis by most consumer lenders are the analogues of ratings in corporate credit risk. Motivated by studies in corporate cr...
متن کاملModelling credit risk of portfolio of consumer loans
One of the issues that the Basel Accord highlighted was that though techniques for estimating the probability of default and hence the credit risk of loans to individual consumers are well established, there were no models for the credit risk of portfolios of such loans. Motivated by the reduced form models for credit risk in corporate lending, we will seek to exploit the obvious parallels betw...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.927773