Modelling credit risk of portfolio of consumer loans

  title={Modelling credit risk of portfolio of consumer loans},
  author={M. Malik and Lyn C. Thomas},
  journal={Journal of the Operational Research Society},
  • M. Malik, L. Thomas
  • Published 1 March 2010
  • Economics, Business
  • Journal of the Operational Research Society
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… 
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