The University of Southampton
University of Southampton Institutional Repository

Comparison of credit risk models for portfolios of retail loans based on behavioural scores

Thomas, L.C. and Malik, M. (2010) Comparison of credit risk models for portfolios of retail loans based on behavioural scores In, Rausch, D and Scheule, H (eds.) Model Risk in Financial Crises. London, UK, Risk Books pp. 209-232.

Record type: Book Section


The fact that the Basel Accord formula is based on a corporate credit risk model and the mis-rating of mortgage backed securities which led to the credit crunch have highlighted that developing credit risk models for portfolios of retail loans is far less advanced than the equivalent modelling for portfolios of corporate loans. Yet for more three decades behavioural scoring has proved a very successful way of estimating the credit risk of individual consumer loans. Almost all lenders produce a behavioural score for every one of their loans every month. This paper reviews the different models that are being developed to use these individual behavioural scores to assess the credit risk at a portfolio level. The models have parallels with the types of corporate credit risk models, but differ because of the need to deal with the features specific to retail loans such as the months on books effect. Thus there are structural type models, ones based on hazard rates and ones that use Markov chain stochastic approaches

Microsoft Word roschsceulepapermadhurcorrections.doc - Other
Download (317kB)

More information

Published date: 2010


Local EPrints ID: 71278
PURE UUID: 95b5ec1a-a9cb-4826-b89c-fed95e5207fb

Catalogue record

Date deposited: 02 Feb 2010
Last modified: 19 Jul 2017 00:01

Export record


Author: L.C. Thomas
Author: M. Malik
Editor: D Rausch
Editor: H Scheule

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.