Collections policy comparison in LGD modelling
Thomas, L.C., Matuszyk, A. and Moore, A. (2009) Collections policy comparison in LGD modelling. Southampton, UK, University of Southampton, 14pp. (Discussion Papers in Centre for Operational Research, Management Science and Information Systems,(CORMSIS-09-12))
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Description/Abstract
This paper discusses the similarities and the differences in the collection process between in house and 3rd Party collection. The objective is to show that although the same type of modelling approach to estimating Loss Given Default (LGD) can be used in both cases the details will be significantly different. In particular the form of the LGD distribution suggests one needs to split the distribution in different easy in the two cases as well as using different variables. The comparisons are made use two data sets of the collections outcomes from two sets of unsecured consumer defaulters
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Uncontrolled Keywords: | credit risk, collection process, LGD modelling |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| ePrint ID: | 71361 |
| URI: | http://eprints.soton.ac.uk/id/eprint/71361 |
| Deposited On: | 05 Feb 2010 |
| Last Modified: | 02 Mar 2012 11:52 |
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