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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