Documents disponibles écrits par cet auteur

Consumer finance / L. C. Thomas in Journal of the operational research society (JORS), Vol. 61 N° 1 (Issue spécial) (Janvier 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 1 (Issue spécial) (Janvier 2010) . - pp. 41–52 Titre : Consumer finance : challenges for operational research Type de document : texte imprimé Auteurs : L. C. Thomas, Auteur Année de publication : 2011 Article en page(s) : pp. 41–52 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Consumer  finance  Credit  scoring  Risk-based  pricing  Classification  techniques  Customer  lifetime  value Index. décimale : 001.424 Résumé : Consumer finance has become one of the most important areas of banking, both because of the amount of money being lent and the impact of such credit on global economy and the realisation that the credit crunch of 2008 was partly due to incorrect modelling of the risks in such lending. This paper reviews the development of credit scoring—the way of assessing risk in consumer finance—and what is meant by a credit score. It then outlines 10 challenges for Operational Research to support modelling in consumer finance. Some of these involve developing more robust risk assessment systems, whereas others are to expand the use of such modelling to deal with the current objectives of lenders and the new decisions they have to make in consumer finance. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n1/abs/jors2009104a.html [article] Consumer finance : challenges for operational research [texte imprimé] / L. C. Thomas, Auteur . - 2011 . - pp. 41–52. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 1 (Issue spécial) (Janvier 2010) . - pp. 41–52 Mots-clés : Consumer  finance  Credit  scoring  Risk-based  pricing  Classification  techniques  Customer  lifetime  value Index. décimale : 001.424 Résumé : Consumer finance has become one of the most important areas of banking, both because of the amount of money being lent and the impact of such credit on global economy and the realisation that the credit crunch of 2008 was partly due to incorrect modelling of the risks in such lending. This paper reviews the development of credit scoring—the way of assessing risk in consumer finance—and what is meant by a credit score. It then outlines 10 challenges for Operational Research to support modelling in consumer finance. Some of these involve developing more robust risk assessment systems, whereas others are to expand the use of such modelling to deal with the current objectives of lenders and the new decisions they have to make in consumer finance. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n1/abs/jors2009104a.html

Modelling credit risk of portfolio of consumer loans / M. Malik 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. 411–420 Titre : Modelling credit risk of portfolio of consumer loans Type de document : texte imprimé Auteurs : M. Malik, Auteur ; L. C. Thomas, Auteur Année de publication : 2011 Article en page(s) : pp. 411–420 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Finance  Credit  risk  Survival  analysis  Credit  scoring Index. décimale : 001.424 Résumé : 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 of portfolios of such loans. Motivated by the reduced form models for credit risk in corporate lending, we seek to exploit the obvious parallels between behavioural scores and the ratings ascribed to corporate bonds to build consumer-lending equivalents. We incorporate both consumer-specific ratings and macroeconomic factors in the framework of Cox Proportional Hazard models. Our results show that default intensities of consumers are significantly influenced by macro factors. Such models then can be used as the basis for simulation approaches to estimate the credit risk of portfolios of consumer loans. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors2009123a.html [article] Modelling credit risk of portfolio of consumer loans [texte imprimé] / M. Malik, Auteur ; L. C. Thomas, Auteur . - 2011 . - pp. 411–420. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 411–420 Mots-clés : Finance  Credit  risk  Survival  analysis  Credit  scoring Index. décimale : 001.424 Résumé : 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 of portfolios of such loans. Motivated by the reduced form models for credit risk in corporate lending, we seek to exploit the obvious parallels between behavioural scores and the ratings ascribed to corporate bonds to build consumer-lending equivalents. We incorporate both consumer-specific ratings and macroeconomic factors in the framework of Cox Proportional Hazard models. Our results show that default intensities of consumers are significantly influenced by macro factors. Such models then can be used as the basis for simulation approaches to estimate the credit risk of portfolios of consumer loans. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors2009123a.html

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