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Modelling LGD for unsecured personal loans / A. Matuszyk in Journal of the operational research society (JORS), Vol. 61 N° 3 (Mars 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 393–398 Titre : Modelling LGD for unsecured personal loans : decision tree approach Type de document : texte imprimé Auteurs : A. Matuszyk, Auteur ; C. Mues, Auteur ; L. C. Thomas, Auteur Année de publication : 2011 Article en page(s) : pp. 393–398 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Basel  II  Consumer  credit  LGD Index. décimale : 001.424 Résumé : 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 decision tree approach to modelling LGD for unsecured consumer loans where the uncertainty in some of the nodes is modelled using a mixture model, where the parameters are obtained using regression. A case study based on default data from the in-house collections department of a UK financial organisation is used to show how such regression can be undertaken. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors200967a.html [article] Modelling LGD for unsecured personal loans : decision tree approach [texte imprimé] / A. Matuszyk, Auteur ; C. Mues, Auteur ; L. C. Thomas, Auteur . - 2011 . - pp. 393–398. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 393–398 Mots-clés : Basel  II  Consumer  credit  LGD Index. décimale : 001.424 Résumé : 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 decision tree approach to modelling LGD for unsecured consumer loans where the uncertainty in some of the nodes is modelled using a mixture model, where the parameters are obtained using regression. A case study based on default data from the in-house collections department of a UK financial organisation is used to show how such regression can be undertaken. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors200967a.html