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Comparing debt characteristics and LGD models for different collections policies

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), pp. 196-203. (doi:10.1016/j.ijforecast.2010.11.004).

Record type: Article


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

Microsoft Word ijfrevisionsent0810.doc - Accepted Manuscript
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Published date: January 2012
Organisations: Centre of Excellence for International Banking, Finance & Accounting


Local EPrints ID: 185281
ISSN: 0169-2070
PURE UUID: 6a126940-b4d5-4f44-bf6c-9a95f6b28fad

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Date deposited: 11 May 2011 14:23
Last modified: 18 Jul 2017 11:49

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