Modelling LGD for unsecured personal loans: decision tree approach

Thomas, L.C., Mues, C. and Matuszyk, A. (2007) Modelling LGD for unsecured personal loans: decision tree approach. , University of Southampton, 13pp. (University of Southampton Discussion Paper Series: Centre for Operational Research, Management Sciences and Information Systems, CORMSIS-07-07).


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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

Item Type: Monograph (Working Paper)
ISSNs: 1356-3548 (print)
Related URLs:
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Divisions : University Structure - Pre August 2011 > School of Management
ePrint ID: 58330
Accepted Date and Publication Date:
November 2007Published
Date Deposited: 15 Aug 2008
Last Modified: 31 Mar 2016 12:39

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