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Modeling exposure to losses on automobile leases

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  • L. Smith
  • Baiqiang Jin

Abstract

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Suggested Citation

  • L. Smith & Baiqiang Jin, 2007. "Modeling exposure to losses on automobile leases," Review of Quantitative Finance and Accounting, Springer, vol. 29(3), pages 241-266, October.
    • Handle: RePEc:kap:rqfnac:v:29:y:2007:i:3:p:241-266
    DOI: 10.1007/s11156-007-0032-0
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    References listed on IDEAS

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    1. George Curnow & Gary Kochman & Steven Meester & Debashish Sarkar & Keith Wilton, 1997. "Automating Credit and Collections Decisions at AT&T Capital Corporation," Interfaces, INFORMS, vol. 27(1), pages 29-52, February.
    2. David B. Gross, 2002. "An Empirical Analysis of Personal Bankruptcy and Delinquency," The Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 319-347, March.
    3. Eric Rosenberg & Alan Gleit, 1994. "Quantitative Methods in Credit Management: A Survey," Operations Research, INFORMS, vol. 42(4), pages 589-613, August.
    4. Lobo, Gerald J & Yang, Dong-Hoon, 2001. "Bank Managers' Heterogeneous Decisions on Discretionary Loan Loss Provisions," Review of Quantitative Finance and Accounting, Springer, vol. 16(3), pages 223-250, May.
    5. Edward I. Altman, 1998. "Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-003, New York University, Leonard N. Stern School of Business-.
    6. repec:bla:jfinan:v:44:y:1989:i:4:p:923-52 is not listed on IDEAS
    7. repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
    8. Campbell, Tim S & Dietrich, J Kimball, 1983. "The Determinants of Default on Insured Conventional Residential Mortgage Loans," Journal of Finance, American Finance Association, vol. 38(5), pages 1569-1581, December.
    9. Betancourt, Luis, 1999. "Using Markov Chains to Estimate Losses from a Portfolio of Mortgages," Review of Quantitative Finance and Accounting, Springer, vol. 12(3), pages 303-317, May.
    10. Lawrence, Edward C. & Smith, L. Douglas & Rhoades, Malcolm, 1992. "An analysis of default risk in mobile home credit," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 299-312, April.
    11. Smith, L. Douglas & Lawrence, Edward C., 1995. "Forecasting losses on a liquidating long-term loan portfolio," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 959-985, September.
    12. Cunningham, Donald F & Capone, Charles A, Jr, 1990. "The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages," Journal of Finance, American Finance Association, vol. 45(5), pages 1687-1703, December.
    13. John R. Walter, 1991. "Loan loss reserves," Economic Review, Federal Reserve Bank of Richmond, vol. 77(Jul), pages 20-30.
    14. Kanagaretnam, Kiridaran & Lobo, Gerald J & Mathieu, Robert, 2003. "Managerial Incentives for Income Smoothing through Bank Loan Loss Provisions," Review of Quantitative Finance and Accounting, Springer, vol. 20(1), pages 63-80, January.
    15. R. M. Cyert & H. J. Davidson & G. L. Thompson, 1962. "Estimation of the Allowance for Doubtful Accounts by Markov Chains," Management Science, INFORMS, vol. 8(3), pages 287-303, April.
    16. Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.
    17. Docking, Diane Scott & Hirschey, Mark & Jones, Elaine, 2000. "Reaction of Bank Stock Prices to Loan-Loss Reserve Announcements," Review of Quantitative Finance and Accounting, Springer, vol. 15(3), pages 277-297, November.
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    Citations

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    Cited by:

    1. Christoph Gleue & Dennis Eilers & Hans-Jörg Mettenheim & Michael H. Breitner, 2019. "Decision Support for the Automotive Industry," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 61(4), pages 385-397, August.
    2. Zhixin Liu & Ping He & Bo Chen, 2019. "A Markov decision model for consumer term-loan collections," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1043-1064, May.
    3. He, Ping & Hua, Zhongsheng & Liu, Zhixin, 2015. "A quantification method for the collection effect on consumer term loans," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 17-26.

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    More about this item

    Keywords

    Credit risk; Modeling automobile leases; Risk management; Nonstationary Markovian models; C; C25; G2; G32;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G2 - Financial Economics - - Financial Institutions and Services
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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