Modelling LGD for unsecured personal loans: decision tree approach

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

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Identifiers

Local EPrints ID: 80368

URI: http://eprints.soton.ac.uk/id/eprint/80368

PURE UUID: fccf873d-a407-46d2-8251-e8dbe96f5f5d

ORCID for Christophe Mues:

orcid.org/0000-0002-6289-5490

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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: Christophe Mues

Author: Anna Matuszyk

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