Beschreibung CONSUMER CREDIT MODELS: Pricing, Profit, and Portfolios. The use of credit scoring--the quantitative and statistical techniques to assess the credit risks involved in lending to consumers--has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now with lenders changing their objectives from minimising defaults to maximising profits, the saturation of the consumer credit market allowing borrowers to be more discriminating in their choice of which loans, mortgages and credit cards to use, and the Basel Accord banking regulations raising the profile of credit scoring within banks there are a number of challenges that require new models that use credit scores as inputs and extensions of the ideas in credit scoring. This book reviews the current methodology and measures used in credit scoring and then looks at the models that can be used to address these new challenges. The first chapter describes what a credit score is and how a scorecard is built which gives credit scores and models how the score is used in the lending decision. The second chapter describes the different ways the quality of a scorecard can be measured and points out how some of these measure the discrimination of the score, some the probability prediction of the score, and some the categorical predictions that are made using the score.The remaining three chapters address how to use risk and response scoring to model the new problems in consumer lending. Chapter three looks at models that assist in deciding how to vary the loan terms made to different potential borrowers depending on their individual characteristics. Risk based pricing is the most common approach being introduced. Chapter four describes how one can use Markov chains and survival analysis to model the dynamics of a borrower's repayment and ordering behavior. These models allow one to make decisions that maximize the profitability of the borrower to the lender and can be considered as part of a customer relationship management strategy. The last chapter looks at how the new banking regulations in the Basel Accord apply to consumer lending. It develops models that show how they will change the operating decisions used in consumer lending and how their need for stress testing requires the development of new models to assess the credit risk of portfolios of consumer loans rather than a models of the credit risks of individual loans.
Consumer Credit Models: Pricing, Profit and Portfolios ~ Credit scoring â the quantitative and statistical techniques which assess the credit risks when lending to consumers â has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now though, credit scoring is beginning to be used in relation to other decisions rather than the traditional one of assessing the default risk of a potential .
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Consumer Credit Models - Lyn C. Thomas - Oxford University ~ Consumer Credit Models Pricing, Profit and Portfolios Lyn C. Thomas. Important and growing field with few existing texts; Author is well respected in the field; Provides descriptions of the basic concepts of scoring inluding an explanation of how survival anlaysis can be used; Clarifies different measures of scorecard quality
Consumer Credit Models: Pricing, Profit, and Portfolios ~ Consumer Credit Models: Pricing, Profit, and Portfolios LYN C. THOMAS OXFORD UNIVERSITY PRESS. Contents Acknowledgements xiii 1 Introduction to consumer credit and credit scoring 1 1.1 Introduction: importance and impact of consumer credit 1 1.2 Historical background of default-based credit scoring 5 1.3 Objectives of lenders 9 1.4 Tools for modelling lending decisions: influence diagrams .
Consumer Credit Models: Pricing, Profit and Portfolios ~ The use of credit scoring - the quantitative and statistical techniques to assess the credit risks involved in lending to consumers - has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now with lenders changing their objectives from minimising defaults to maximising profits, the saturation of the consumer credit market allowing .
: Customer reviews: Consumer Credit Models ~ The book's subtitle, "pricing, profit and portfolios", identifies its focus and its difference from, and complementarity to, the 2002 predecessor. Chapters 3-5 are new. Chapter 5 stands a little apart from the rest and discusses all matters Basel, so the book's core is Chapters 3 and 4. The 50-page-long Chapter 3 considers the one-period interest-rate-setting decision (focusing on take-up rate .
MS4224 LN09 Credit scoring.pdf - MS4224 Enterprise Data ~ 1 MS4224 Enterprise Data Mining Credit scoring Thomas, Lyn C. (2009), Consumer Credit Models: Pricing, Profit and Portfolios, OUP BillieAnderson et al (2009), Development of Credit Scoring Applications Using SAS Enterprise Miner, SAS Institute All the information/materials provided by this course is protected by laws related to industrial .
Evaluating Credit Risk Models - Federal Reserve Bank of ~ Evaluating Credit Risk Models Jose A. Lopez Economic Research Department Federal Reserve Bank of San Francisco 101 Market Street San Francisco, CA 94105-1530 Phone: (415) 977-3894 Fax: (415) 974-2168 jose.a.lopez@sfb Marc R. Saidenberg Research and Market Analysis Group Federal Reserve Bank of New York 33 Liberty Street New York, NY 10045 Phone: (212) 720-5958 Fax: (212) 720-8363 marc .
Statistical Methods in Credit Risk Modeling ~ Statistical Methods in Credit Risk Modeling by Aijun Zhang A dissertation submitted in partial ful llment of the requirements for the degree of Doctor of Philosophy (Statistics) in The University of Michigan 2009 Doctoral Committee: Professor Vijayan N. Nair, Co-Chair Agus Sudjianto, Co-Chair, Bank of America Professor Tailen Hsing Associate Professor Jionghua Jin Associate Professor Ji Zhu. c .
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CREDIT RISK MODELLING: CURRENT PRACTICES AND APPLICATIONS ~ based pricing and, to a lesser (but growing) degree, active portfolio management and capital structure decisions. The Task Force recognises that credit risk modelling may indeed prove to result in better internal risk management, and may have the potential to be used in the supervisory oversight of banking organisations. However, before a portfolio modelling approach could be used in the .
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INTRODUCTION TO THE PRICING STRATEGY AND PRACTICE ~ !!Pricing has the highest impact on increasing profit Price/ Revenue Fixed costs Variable Operating profit 100 19.2 68.3 12.5 101 No change No change 13.5 Price increase of 1% Profit increase of 8% Source: Compustat; McKinsey analysis, 2003 . The power of pricing !!Pricing has the highest impact on increasing profit Source: RĂźdiger, Ellige and Weigell, 2007 In price In variable costs In sales .
Risk-Based Pricing Definition ~ Risk-based pricing looks at factors such as a consumerâs credit score, adverse credit history (if any), employment status, and income. It does not consider factors such as race, color, national .
Principles for the Management of Credit Risk ~ both the individual credit and portfolio levels. Principle 3: Banks should identify and manage credit risk inherent in all products and activities. Banks should ensure that the risks of products and activities new to them are subject to adequate risk management procedures and controls before being introduced or undertaken, and approved in advance by the board of directors or its appropriate .
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Macro Economic Factors and Probability of Default ~ Each of these items is critical to the management of credit portfolios. None is more important or more difficult to determine, than the default probability. 2.2 Credit Risk Measurement In order to be able to measure credit risk, one has to choose an appropriate credit risk model. The selection of such model is very important for credit risk management. An inadequate model might contain model .
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