Credit Risk Modeling for Online Consumer Loans
نویسندگان
چکیده
Institutional investors and investment managers seek to better characterize the credit risk of online consumer loans. This article describes how to prepare the data and build a credit risk model that can be used for a number of applications including generating alpha, issuing protection and securitizing loans into bonds with the desired risk/reward profile. A simple example is used to provide insight into the modeling approach. In the next blog article, we shall describe how to price consumer loans and include pre-prepayment models.
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