Modelling Consumer Credit and Default : The Research
نویسنده
چکیده
The last twenty years have seen a rapid growth in the expansion of consumer credit. Figures for the U.K, for example, show that in 1988 consumer credit represented just 50% of national income, compared with 70% in 2001. This paper looks at some of the issues that now need addressing following this expansion in credit, particularly how it may have affected families on low incomes. 1 Experian Centre for Economic Modelling (ExCEM), University of Nottingham (www.nottingham.ac.uk/economics/ExCEM). ExCEM is funded by the University of Nottingham and Experian Plc. Thanks to James Banks and Mike Brewer at the Institute for Fiscal Studies, and seminar participants at the ESRC's seminar on ‘How People on Low Incomes Manage their Finances’ for advice.
منابع مشابه
Structural models in consumer credit
We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and a credit bureau score as proxy for creditworthiness we compare a number of alternative models before suggesting one that leads to a simple analytical solution for the probability of default. We apply the proposed model t...
متن کاملThe Effect of Macroeconomic Variables on Credit Default Cycles in the Country's Monetary Market
The main challenge facing the country's banking system is credit default or the possibility of defaulting borrowers from fulfilling their obligations to the banking system, known as credit risk. Therefore to control credit risk, the factors influencing this type of risk must be identified. Several factors affect credit default in the non-government sector. This study examines the asymmetric ef...
متن کاملComparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD
Estimating Recovery Rate and Recovery Amount has become important in consumer credit because of the new Basel Accord regulation and because of the increase in number of defaulters due to the recession. We compare linear regression and survival analysis models for modelling Recovery rates and Recovery amounts, so as to predict Loss Given Default (LGD) for unsecured consumer loans or credit cards...
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...
متن کاملOptimal replenishment and credit policy in supply chain inventory model under two levels of trade credit with time- and credit-sensitive demand involving default risk
Traditional supply chain inventory modes with trade credit usually only assumed that the up-stream suppliers offered the down-stream retailers a fixed credit period. However, in practice the retailers will also provide a credit period to customers to promote the market competition. In this paper, we formulate an optimal supply chain inventory model under two levels of trade credit policy with d...
متن کامل