Modelling LGD for unsecured personal loans: decision tree approach
نویسندگان
چکیده
Modelling LGD for unsecured personal loans: Decision tree approach Lyn C. Thomas Christophe Mues Anna Matuszyk University of Southampton Abstract The Basel New Accord which is being implemented throughout the banking world on 1 January 2007 has made a significant difference to the use of modelling within financial organisations. In particular it has highlighted the importance of Loss Given Default (LGD) modelling. We propose a decision tree approach to modelling LGD in the consumer credit area and using real data from the financial organisation in UK model the components that make up this tree.
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ورودعنوان ژورنال:
- JORS
دوره 61 شماره
صفحات -
تاریخ انتشار 2010