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Structural models in consumer credit
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DOI：10.1016/j.ejor.2006.07.049.png)
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摘要
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We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer's reputation. Using Brazilian empirical data and a credit bureau score as proxy for creditworthiness we compare a number of alternative models before suggesting one that leads to a simple analytical solution for the probability of default. We apply the proposed model to portfolios of consumer loans introducing a factor to account for the mean influence of systemic economic factors on individuals. This results in a hybrid structural-reduced-form model. And comparisons are made with the Basel 11 approach. Our conclusions partially support that approach for modelling the credit risk of portfolios of retail credit. (c) 2006 Elsevier B.V. All rights reserved.
Keyword:
finance
stochastic processes
credit risk
consumer lending
portfolio modelling
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IF:
6
论文数:
2.2W
被引数:
6.4W
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