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Modelling LGD for unsecured personal loans: decision tree approach

Thomas, L.C., Mues, C. and Matuszyk, A. (2007) 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).

Record type: Monograph (Working 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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More information

Published date: November 2007

Identifiers

Local EPrints ID: 58330
URI: http://eprints.soton.ac.uk/id/eprint/58330
ISSN: 1356-3548
PURE UUID: 978c7674-d6b4-4a21-90a6-274cd0cd6b79

Catalogue record

Date deposited: 15 Aug 2008
Last modified: 17 Jul 2017 14:27

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Contributors

Author: L.C. Thomas
Author: C. Mues
Author: A. Matuszyk

University divisions

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