Consumer Credit Models: Pricing, Profit and Portfolios

By A. Savvopoulos. 2010

107 citations recorded by the source corpus.

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Transition Matrix Models of Consumer Credit Ratings (2012, methodology): “…first highlighted during the development of the Basel Accord, when a corporate credit risk model was used to calculate the regulatory capital for all types of loans ( BCBS 2005) even though the basic idea of such a model – that default occurs when debts exceed assets – is not the reason why…”
The Tyranny of Data? The Bright and Dark Sides of Data-Driven Decision-Making for Social Good (2016, background): “However, this approach is mainly based on the past financial history of customers (people or businesses) [81], and thus not adequate to provide credit access to people or businesses when no financial history is available.”
Instance-based credit risk assessment for investment decisions in P2P lending (2016, background): “A number of examples include logistic regression (Wiginton, 1980; Thomas, 2009), linear discriminate analysis (Rosenberg & Gleit, 1994), k-nearest neighbors (Chatterjee & Barcun, 1970), classification trees (Feldman & Gross, 2005), Markov chains (Frydman et al.”
Consumer Credit Risk Models Via Machine-Learning Algorithms (2010, background): “5See Hand and Henley (1997) and Thomas (2009) for reviews of traditional and more recent statistical modeling approaches to credit scoring.”