Journal of the operational research society (JORS), Vol. 61 N° 3. Journal of the operational research society (JORS) - Mars 2010
| Titre : | Journal of the operational research society (JORS), Vol. 61 N° 3. Journal of the operational research society (JORS) - Mars 2010 |
| Type de document : | Bulletin |
| Paru le : | 07/09/2011 |
Dépouillements
Article : texte imprimé
G. Castermans, Auteur ;
D. Martens, Auteur ;
Van Gestel, T., Auteur
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In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation can be considered from both a quantitative and qualitative point of view. Backte[...]
Article : texte imprimé
S. Ingolfsson, Auteur ;
B. T. Elvarsson, Auteur
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Banking regulation stipulates that to calculate minimum capital requirements a long-term average of annual default probability (PD) should be used. Typically, logistic regression is applied with a 12-month sample period to obtain retail PD estim[...]
Article : texte imprimé
P. Beling, Auteur ;
G. Overstreet, Auteur ;
K. Rajaratnam, Auteur
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Despite the topic's societal importance and despite progress in bank research, a lack of consensus exists concerning either the desirability of bank regulation or its optimal design. Enforcement of minimum bank capital standards has been shown t[...]
Article : texte imprimé
A. Matuszyk, Auteur ;
C. Mues, Auteur ;
L. C. Thomas, Auteur
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The New Basel Accord, which was implemented in 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 de[...]
Article : texte imprimé
J. L. Breeden, Auteur ;
D. Ingram, Auteur
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Monte Carlo simulation is a common method for studying the volatility of market traded instruments. It is less employed in retail lending, because of the inherent nonlinearities in consumer behaviour. In this paper, we use the approach of Dual-t[...]
Article : texte imprimé
M. Malik, Auteur ;
L. C. Thomas, Auteur
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One of the issues that the Basel Accord highlighted was that, though techniques for estimating the probability of default and hence the credit risk of loans to individual consumers are well established, there were no models for the credit risk o[...]
Article : texte imprimé
K. Rajaratnam, Auteur ;
P. Beling, Auteur ;
G. Overstreet, Auteur
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We consider methods for incorporating forecasts of future economic conditions into acquisition decisions for scored retail credit and loan portfolios. We suppose that a portfolio manager is faced with two possible future economic scenarios, each[...]
Article : texte imprimé
We use response data collected by a lender to estimate the probabilities of loan offers being accepted by the applicants and the survival probabilities of default and of paying back early. Combining all those together we estimated the expected p[...]
Article : texte imprimé
H-V. Seow, Auteur
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The advent of Internet broking pages allows customers to ‘apply’ to a number of different companies at one time, leading to multiple offers made to a customer. The saturated condition of the personal financial products has led to falling ‘take’ [...]
Article : texte imprimé
L. Quirini, Auteur ;
L. Vannucci, Auteur
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This paper introduces a novel family of indexes to describe borrowers’ creditworthiness in retail credit products, both for fixed term loans and for open-ended products such as credit cards. Each index is the ratio at a given time of the net pre[...]
Article : texte imprimé
A. R. Brentnall, Auteur ;
M. J. Crowder, Auteur ;
D. J. Hand, Auteur
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Some predictive models for customer value management might benefit from information about certain changes in individual-consumer behaviour. We take changepoint methods as the first step in producing a model-input feature for this purpose. An unu[...]
Article : texte imprimé
J. Banasik, Auteur ;
J. Crook, Auteur
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The literature suggests that the commonly used augmentation method of reject inference achieves no appreciable benefit in the context of logistic and probit regression models. Ranking is not improved and the ability to discern a correct cut-off [...]
Article : texte imprimé
R. Florez-Lopez, Auteur
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The 2004 Basel II Accord has pointed out the benefits of credit risk management through internal models using internal data to estimate risk components: probability of default (PD), loss given default, exposure at default and maturity. Internal [...]
Article : texte imprimé
E. Fernández, Auteur ;
J. Kalcsics, Auteur ;
S. Nickel, Auteur
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The problem discussed in this paper is motivated by the new recycling directive Waste Electrical and Electronic Equipment of the European Commission. The core of this law is, that each company which sells electrical or electronic equipment in a [...]
Article : texte imprimé
A heuristic algorithm is described for vehicle routing and scheduling problems to minimise the total travel time, where the time required for a vehicle to travel along any road in the network varies according to the time of travel. The variation[...]
Article : texte imprimé
K. Fagerholt, Auteur ;
G. Laporte, Auteur ;
I. Norstad, Auteur
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Fuel consumption and emissions on a shipping route are typically a cubic function of speed. Given a shipping route consisting of a sequence of ports with a time window for the start of service, substantial savings can be achieved by optimizing t[...]
Article : texte imprimé
Freight transport has undesirable effects on the environment. The most prominent of these is greenhouse gas emissions. Intermodal freight transport, where freight is shipped from origin to destination by a sequence of at least two transportation[...]
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