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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Description/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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| ISSNs: | 1356-3548 (print) |
| Related URLs: | |
| Subjects: | H Social Sciences > HF Commerce H Social Sciences > HG Finance H Social Sciences > HA Statistics |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 58330 |
| Date Deposited: | 15 Aug 2008 |
| Last Modified: | 02 Mar 2012 11:32 |
| Contributors: | Thomas, L.C. (Author) Mues, C. (Author) Matuszyk, A. (Author) |
| Date: | November 2007 |
| Status: | Published |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/58330 |
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