Thomas, L.C., Mues, C. and Matuszyk, A.
Modelling LGD for unsecured personal loans: decision tree approach University of Southampton 13pp.
(University of Southampton Discussion Paper Series: Centre for Operational Research, Management Sciences and Information Systems, CORMSIS-07-07).
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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
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