Modeling Default Correlation in a US Retail Loan Portfolio
نویسندگان
چکیده
منابع مشابه
Modeling Time to Default on a Personal Loan Portfolio in Presence of Disproportionate Hazard Rates
In this paper we consider a parametric Weibull mixture cure model for modeling time to default on a personal loan portfolio in presence of disproportionate hazard rate. The main contribution of this paper is to evidence that mixture cure models are appropriate for non proportional sceneries, which has not been claimed in recent articles that brings survival analysis approach for credit scoring ...
متن کاملAsset Correlation , Realized Default Correlation , and Portfolio Credit Risk
Asset correlation is a critical driver in modeling portfolio credit risk. Despite its importance, there have been few studies on the empirical relationship between asset correlation and subsequently realized default correlation, and portfolio credit risk. This three three-way relationship is the focus of our study using U.S. public firm default data from 1981 to 2006. We find the magnitude of d...
متن کاملLarge-Scale Loan Portfolio Selection
We consider the problem of optimally selecting a large portfolio of risky loans, such as mortgages, credit cards, auto loans, student loans, or business loans. Examples include loan portfolios held by financial institutions and fixed-income investors as well as pools of loans backing mortgageand asset-backed securities. The size of these portfolios can range from the thousands to even hundreds ...
متن کامل1 the Distribution of Loan Portfolio Value
The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital and partly by borrowed funds. The credit quality of the lender's notes will depend on the probabili...
متن کاملThe Distribution of Loan Portfolio Value
The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital and partly by borrowed funds. The credit quality of the lender's notes will depend on the probabili...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2127372