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Autor:
Schwarz, Alexandra:

Titel:
Measurement, monitoring and forecasting of consumer credit cefault risk
An indicator approach based on individual payment histories

Quelle:
Wuppertal : University of Wuppertal (2011)

URL des Volltextes:
http://www.wiwi.uni-wuppertal.de/forschung/publikationen/schumpeter-discussion-papers.html

Sprache:
Englisch

Dokumenttyp:
5. Arbeits- und Diskussionspapiere; Arbeits- und Diskussionspapier (keine besondere Kategorie)

Schlagwörter:
Bankwesen, Datenanalyse, Empirische Forschung, Fallstudie, Finanzwirtschaft, Indikator, Management, Messverfahren, Prognose, Risiko


Abstract(englisch):
The statistical techniques which cover the process of modeling and evaluating consumer credit risk have become widely accepted instruments in risk management. In contrast, we find only few and vague statements on how to define the default event, i. e. on the concrete circumstances that lead to the decision of identifying a certain credit as defaulted. Based on a large data set of individual payment histories this paper investigates a possible solution to this problem in the area of installment purchase. The proposed definition of default is based on the time due amounts are outstanding and the resulting profitability of the receivables portfolio. Furthermore, to assess the individual payment performance during the credit period, indicators for monitoring and forecasting default events are derived. The empirical results show that these indicators generate valuable information which can be used by the creditor to improve his credit and collection policy and hence, to improve cash flows and reduce bad debt loss.


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zuletzt verändert: 11.11.2016