Modelling the credit risk for portfolios of customer loans: analogies with corporate loan models
Modelling the credit risk for portfolios of customer loans: analogies with corporate loan models
The New Basel accord has highlighted the need for models of the credit risk in portfolios of consumer loans. There are really no such models of the risks in consumer loan portfolios even though there is a well established industry – credit scoring- in modeling the risk of individual loans. Yet there are a number of models of the credit risk of portfolios of corporate loans. This paper discusses if and how one could use equivalent approaches to building such models in consumer lending even if the models themselves cannot translate across because of the assumptions underlying them.
University of Southampton
Thomas, L.
a3ce3068-328b-4bce-889f-965b0b9d2362
2006
Thomas, L.
a3ce3068-328b-4bce-889f-965b0b9d2362
Thomas, L.
(2006)
Modelling the credit risk for portfolios of customer loans: analogies with corporate loan models
(University of Southampton Discussion Paper Series: Centre for Operational Research, Management Sciences and Information Systems, CORMSIS-06-08)
Southampton, UK.
University of Southampton
23pp.
Record type:
Monograph
(Working Paper)
Abstract
The New Basel accord has highlighted the need for models of the credit risk in portfolios of consumer loans. There are really no such models of the risks in consumer loan portfolios even though there is a well established industry – credit scoring- in modeling the risk of individual loans. Yet there are a number of models of the credit risk of portfolios of corporate loans. This paper discusses if and how one could use equivalent approaches to building such models in consumer lending even if the models themselves cannot translate across because of the assumptions underlying them.
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Published date: 2006
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Local EPrints ID: 58380
URI: http://eprints.soton.ac.uk/id/eprint/58380
ISSN: 1356-3548
PURE UUID: 21bd12cf-7d3d-47a0-a7ef-4c832aae761a
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Date deposited: 15 Aug 2008
Last modified: 11 Dec 2021 17:56
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Author:
L. Thomas
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