Modelling LGD for unsecured personal loans: decision tree approach
Modelling LGD for unsecured personal loans: decision tree approach
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
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Mues, Christophe
07438e46-bad6-48ba-8f56-f945bc2ff934
Matuszyk, Anna
bd80897f-993a-46d0-ba59-c8c7c9664a12
2007
Thomas, Lyn C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Mues, Christophe
07438e46-bad6-48ba-8f56-f945bc2ff934
Matuszyk, Anna
bd80897f-993a-46d0-ba59-c8c7c9664a12
Thomas, Lyn C., Mues, Christophe and Matuszyk, Anna
(2007)
Modelling LGD for unsecured personal loans: decision tree approach.
10th Credit Scoring & Credit Control Conference (CSCC X), Edinburgh, United Kingdom.
10 pp
.
Record type:
Conference or Workshop Item
(Paper)
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
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Published date: 2007
Venue - Dates:
10th Credit Scoring & Credit Control Conference (CSCC X), Edinburgh, United Kingdom, 2007-01-01
Identifiers
Local EPrints ID: 80368
URI: http://eprints.soton.ac.uk/id/eprint/80368
PURE UUID: fccf873d-a407-46d2-8251-e8dbe96f5f5d
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Date deposited: 24 Mar 2010
Last modified: 08 Apr 2022 01:38
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Contributors
Author:
Lyn C. Thomas
Author:
Anna Matuszyk
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