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Comparing debt characteristics and LGD models for different collections policies

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

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Citation

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).

More information

Published date: January 2012
Organisations: Centre of Excellence for International Banking, Finance & Accounting

Identifiers

Local EPrints ID: 185281
URI: http://eprints.soton.ac.uk/id/eprint/185281
ISSN: 0169-2070
PURE UUID: 6a126940-b4d5-4f44-bf6c-9a95f6b28fad

Catalogue record

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

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