Comparing debt characteristics and LGD models for different collections policies
Comparing debt characteristics and LGD models for different collections policies
This paper discusses the similarities and 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 the 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 that one needs to split the distribution in different ways in the two cases, as well as using different variables. The comparisons are made using two data sets of the collection outcomes from two sets of unsecured consumer defaulters
196-203
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Matuszyk, A.
609703a0-5c89-40d3-acb2-885e03779c37
Moore, A.
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January 2012
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Matuszyk, A.
609703a0-5c89-40d3-acb2-885e03779c37
Moore, A.
3ef88e9c-073c-4ca3-bf54-ad3ccc4bcc9c
Thomas, L.C., Matuszyk, A. and Moore, A.
(2012)
Comparing debt characteristics and LGD models for different collections policies.
International Journal of Forecasting, 28 (1), .
(doi:10.1016/j.ijforecast.2010.11.004).
Abstract
This paper discusses the similarities and 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 the 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 that one needs to split the distribution in different ways in the two cases, as well as using different variables. The comparisons are made using two data sets of the collection outcomes from two sets of unsecured consumer defaulters
Text
ijfrevisionsent0810.doc
- Accepted Manuscript
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Published date: January 2012
Organisations:
Centre of Excellence for International Banking, Finance & Accounting
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Local EPrints ID: 185281
URI: http://eprints.soton.ac.uk/id/eprint/185281
ISSN: 0169-2070
PURE UUID: 6a126940-b4d5-4f44-bf6c-9a95f6b28fad
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Date deposited: 11 May 2011 14:23
Last modified: 14 Mar 2024 03:12
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Author:
L.C. Thomas
Author:
A. Matuszyk
Author:
A. Moore
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