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
ePrint ID: 58330
Date Deposited: 15 Aug 2008
Last Modified: 27 Mar 2014 18:40
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/58330

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