Article ID: | iaor20102411 |
Volume: | 79 |
Issue: | 8 |
Start Page Number: | 2525 |
End Page Number: | 2534 |
Publication Date: | Apr 2009 |
Journal: | Mathematics and Computers in Simulation |
Authors: | Thomas Lyn C |
Keywords: | credit risk |
The New Basel accord has highlighted the need for models of the credit risk in portfolios of consumer loans. There are really no such models of the risks in consumer loan portfolios even though there is a well established industry – credit scoring – in modelling the risk of individual loans. Yet there are a number of models of the credit risk of portfolios of corporate loans. This paper discusses if and how one could use equivalent approaches to building such models in consumer lending even if the models themselves cannot translate across because of the assumptions underlying them.