Modelling LGD for unsecured personal loans: decision tree approach
Thomas, L. C., Mues, C. and Matuszyk, A. (2010) Modelling LGD for unsecured personal loans: decision tree approach. Journal of the Operational Research Society, 61, 393-398. (doi:10.1057/jors.2009.67).
The New Basel Accord, which was implemented in 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 for unsecured consumer loans where the uncertainty in some of the nodes is modelled using a mixture model, where the parameters are obtained using regression. A case study based on default data from the in-house collections department of a UK financial organisation is used to show how such regression can be undertaken.
|Keywords:||Basel II, consumer credit, LGD|
|Subjects:||H Social Sciences > H Social Sciences (General)|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||14 May 2010 15:25|
|Last Modified:||19 May 2013 01:03|
|Contributors:||Thomas, L. C. (Author)
Mues, C. (Author)
Matuszyk, A. (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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