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Modelling the Credit Risk for Portfolios of Consumer Loans: Analogies with Corporate Loan Models
Company: University of Southampton
Year Of Publication: 2006
Month Of Publication: January
Pages: 18
Download Count: 488
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 6-18-2006
Publisher: Administrator
We review the different models for estimating the credit risk ofportfolios of corporate loans, in particular the structural and reduced form models. In section 3 welook at a structural model based on the reputation of the individual for the credit risk of consumerlending at both the individual and portfolio level. This draws heavily on the work of Andrade andThomas (Andrade and Thomas 2005) and the model built therein using Brazilian data. Theremaining setions are much more indicative of possible approaches rather than details of specificmodels. Section 4 suggests one can build structural models based on affordability . Sections 5 and6consider how one can use survival analysis and Markov chain approaches to behavioural scoringto build credit risk models for portfolios of consumer loans, which are the equivalent of reducedform default mode and reduced form mark to market models in the corporate case.
Thomas, Lyn Sign in to follow this author
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