Modelling the credit risk for portfolios of customer loans: analogies with corporate loan models


Thomas, L. (2006) Modelling the credit risk for portfolios of customer loans: analogies with corporate loan models. Southampton, UK, University of Southampton, 23pp. (University of Southampton Discussion Paper Series: Centre for Operational Research, Management Sciences and Information Systems, (CORMSIS-06-08) ).

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Description/Abstract

The New Basel accord has highlighted the need for models of the credit risk in portfolios of consumer loans. There are really no such models of the risks in consumer loan portfolios even though there is a well established industry – credit scoring- in modeling the risk of individual loans. Yet there are a number of models of the credit risk of portfolios of corporate loans. This paper discusses if and how one could use equivalent approaches to building such models in consumer lending even if the models themselves cannot translate across because of the assumptions underlying them.

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 > HB Economic Theory
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 58380
Date Deposited: 15 Aug 2008
Last Modified: 27 Mar 2014 18:40
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/58380

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