Collections policy comparison in LGD modelling
Collections policy comparison in LGD modelling
This paper discusses the similarities and the 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 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 one needs to split the distribution in different easy in the two cases as well as using different variables. The comparisons are made use two data sets of the collections outcomes from two sets of unsecured consumer defaulters
credit risk, collection process, LGD modelling
University of Southampton
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Matuszyk, A.
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Moore, A.
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2009
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Matuszyk, A.
609703a0-5c89-40d3-acb2-885e03779c37
Moore, A.
3ef88e9c-073c-4ca3-bf54-ad3ccc4bcc9c
Thomas, L.C., Matuszyk, A. and Moore, A.
(2009)
Collections policy comparison in LGD modelling
(Discussion Papers in Centre for Operational Research, Management Science and Information Systems, CORMSIS-09-12)
Southampton, UK.
University of Southampton
14pp.
Record type:
Monograph
(Discussion Paper)
Abstract
This paper discusses the similarities and the 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 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 one needs to split the distribution in different easy in the two cases as well as using different variables. The comparisons are made use two data sets of the collections outcomes from two sets of unsecured consumer defaulters
Text
CRR-09-03.pdf
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More information
Published date: 2009
Keywords:
credit risk, collection process, LGD modelling
Identifiers
Local EPrints ID: 71361
URI: http://eprints.soton.ac.uk/id/eprint/71361
PURE UUID: 470e87ba-b1cd-48cb-a308-d2bfe81a9f11
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Date deposited: 05 Feb 2010
Last modified: 13 Mar 2024 20:26
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Contributors
Author:
L.C. Thomas
Author:
A. Matuszyk
Author:
A. Moore
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