Consumer credit models : pricing, profit, and portfolios / Lyn C. Thomas.

Format:

Book

Author/Creator:

Thomas, L. C.

Language:

English

Subjects (All):

Consumer credit--Mathematical models.

Consumer credit.

Credit scoring systems.

Physical Description:

1 online resource (400 p.)

Place of Publication:

Oxford ; New York : Oxford University Press, 2009.

Language Note:

English

Summary:

This text reviews the current methodology and measures used in credit scoring and then looks at the models that can be used to address new challenges.

Contents:

Preface; Contents; Acknowledgements; 1 Introduction to consumer credit and credit scoring; 1.1 Introduction: importance and impact of consumer credit; 1.2 Historical background of default-based credit scoring; 1.3 Objectives of lenders; 1.4 Tools for modelling lending decisions: influence diagrams, decision trees, and strategy trees; 1.5 Probabilities, odds, information, and scores; 1.6 Modifying scores: scaling, multiple levels, and time dependency; 1.7 Lending returns and costs; 1.8 Fundamentals of scorecard building; 1.9 Using logistic regression to build scorecards

1.10 Other scorecard-building approaches2 Measurement of scoring systems; 2.1 Measuring scorecard quality; 2.2 Discrimination measures: divergence, Kolmogorov-Smirnov statistic, and D-concordance statistic; 2.3 ROC curve and Gini coefficient; 2.4 Scorecard segmentation and measuring its impact on discrimination; 2.5 Calibration measures of scorecard probability predictions; 2.6 Measures of the correctness of categorical prediction; 3 Risk-based pricing; 3.1 Variable pricing in consumer lending; 3.2 Risk-free response rate function and optimal pricing

3.3 Risk response relationship, adverse selection, and affordability3.4 Risk-based response function and risk-based pricing; 3.5 Acceptance scoring for multi-feature offers; 3.6 A borrower-lender game model for pricing; 4 Profit scoring and dynamic models; 4.1 Behavioural scoring and dynamic account management; 4.2 Profit scoring, risk/reward matrices to customer behaviour dynamics; 4.3 Markov chain models of account behaviour; 4.4 Markov decision process models of profitability; 4.5 Survival analysis-based scoring systems and default estimation

4.6 Survival analysis-based profit models, including attrition and prepayment5 Portfolio credit risk and the Basel Accord; 5.1 Portfolio credit risk; 5.2 Economic and regulatory capital; 5.3 Summary of Basel Capital Accords; 5.4 Basel II regulations and their impact on credit scoring; 5.5 Regulatory capital and optimal cut-off policies; 5.6 Modelling credit risk for portfolios of consumer and corporate loans; 5.7 Basel stress testing of consumer portfolios: static and dynamic approaches; Appendices; A: Scores and runbook example; B: Southampton bank application data; References; Index; A; B

CD; E; F; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Y; Z

Notes:

Description based upon print version of record.

Description based on print version record.

Includes bibliographical references (p. [365]-369) and index.

ISBN:

0-19-155249-6

9786612076398

1-282-07639-6

OCLC:

922954348