کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481836 | 1446186 | 2007 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Structural models in consumer credit
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Structural models in consumer credit Structural models in consumer credit](/preview/png/481836.png)
چکیده انگلیسی
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 II approach. Our conclusions partially support that approach for modelling the credit risk of portfolios of retail credit.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 183, Issue 3, 16 December 2007, Pages 1569–1581
Journal: European Journal of Operational Research - Volume 183, Issue 3, 16 December 2007, Pages 1569–1581
نویسندگان
Fabio Wendling Muniz de Andrade, Lyn Thomas,