Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models |
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Authors: | Lyn C Thomas |
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Affiliation: | Quantitative Financial Risk Management Centre, School of Management, University of Southampton, Southampton SO17 1BJ, UK |
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Abstract: | The New Basel accord has highlighted the need for models of the credit risk in portfolios of consumer loans. There are really no such models of the risks in consumer loan portfolios even though there is a well established industry – credit scoring – in modelling the risk of individual loans. Yet there are a number of models of the credit risk of portfolios of corporate loans. This paper discusses if and how one could use equivalent approaches to building such models in consumer lending even if the models themselves cannot translate across because of the assumptions underlying them. |
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Keywords: | Credit risk Consumer lending Structural models Reduced form models |
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