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Consumer Credit Models: Pricing, Profit and Portfolios

Citations

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Cited by:

  1. José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," Borradores de Economia 9079, Banco de la Republica.
  2. Matuszyk, Anna & So, Mee Chi & Mues, Christophe & Moore, Angela, 2016. "Modelling repayment patterns in the collections process for unsecured consumer debt: A case studyAuthor-Name: Thomas, Lyn C," European Journal of Operational Research, Elsevier, vol. 249(2), pages 476-486.
  3. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
  4. Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
  5. Christa N. Gibbs & Benedict Guttman-Kenney & Donghoon Lee & Scott Nelson & Wilbert Van der Klaauw & Jialan Wang, 2024. "Consumer Credit Reporting Data," Staff Reports 1114, Federal Reserve Bank of New York.
  6. David Pla-Santamaria & Mila Bravo & Javier Reig-Mullor & Francisco Salas-Molina, 2021. "A multicriteria approach to manage credit risk under strict uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(2), pages 494-523, July.
  7. Arno Botha & Conrad Beyers & Pieter de Villiers, 2020. "The loss optimisation of loan recovery decision times using forecast cash flows," Papers 2010.05601, arXiv.org.
  8. R T Stewart, 2011. "A profit-based scoring system in consumer credit: making acquisition decisions for credit cards," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(9), pages 1719-1725, September.
  9. Pisula Tomasz & Mentel Grzegorz & Brożyna Jacek, 2015. "Non-Statistical Methods of Analysing of Bankruptcy Risk," Folia Oeconomica Stetinensia, Sciendo, vol. 15(1), pages 7-21, June.
  10. Verme, Paolo & Gigliarano, Chiara, 2019. "Optimal targeting under budget constraints in a humanitarian context," World Development, Elsevier, vol. 119(C), pages 224-233.
  11. K Bijak, 2011. "Kalman filtering as a performance monitoring technique for a propensity scorecard," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(1), pages 29-37, January.
  12. Laura Blattner & Scott Nelson, 2021. "How Costly is Noise? Data and Disparities in Consumer Credit," Papers 2105.07554, arXiv.org.
  13. Tomasz Pisula, 2020. "An Ensemble Classifier-Based Scoring Model for Predicting Bankruptcy of Polish Companies in the Podkarpackie Voivodeship," JRFM, MDPI, vol. 13(2), pages 1-35, February.
  14. Khandani, Amir E. & Kim, Adlar J. & Lo, Andrew W., 2010. "Consumer credit-risk models via machine-learning algorithms," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2767-2787, November.
  15. Maha Bakoben & Tony Bellotti & Niall Adams, 2017. "Identification of Credit Risk Based on Cluster Analysis of Account Behaviours," Papers 1706.07466, arXiv.org.
  16. So, Meko M.C. & Thomas, Lyn C., 2011. "Modelling the profitability of credit cards by Markov decision processes," European Journal of Operational Research, Elsevier, vol. 212(1), pages 123-130, July.
  17. Martin Řezáč, 2015. "ESIS2: Information Value Estimator for Credit Scoring Models," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 303-322, February.
  18. Arno Botha & Conrad Beyers & Pieter de Villiers, 2020. "Simulation-based optimisation of the timing of loan recovery across different portfolios," Papers 2009.11064, arXiv.org, revised Apr 2021.
  19. Sanchez-Barrios, Luis Javier & Andreeva, Galina & Ansell, Jake, 2016. "“Time-to-profit scorecards for revolving credit”," European Journal of Operational Research, Elsevier, vol. 249(2), pages 397-406.
  20. Gigliarano, Chiara & Figini, Silvia & Muliere, Pietro, 2014. "Making classifier performance comparisons when ROC curves intersect," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 300-312.
  21. Ka-Kit Leung & Horas T H Wong & Claire M Naftalin & Shui Shan Lee, 2014. "A New Perspective on Sexual Mixing among Men Who Have Sex with Men by Body Image," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-5, November.
  22. Igor Livshits & James C. Mac Gee & Michèle Tertilt, 2016. "The Democratization of Credit and the Rise in Consumer Bankruptcies," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 83(4), pages 1673-1710.
  23. Arno Botha & Esmerelda Oberholzer & Janette Larney & Riaan de Jongh, 2023. "Defining and comparing SICR-events for classifying impaired loans under IFRS 9," Papers 2303.03080, arXiv.org, revised Aug 2024.
  24. Martin Rezac & Frantisek Rezac, 2011. "How to Measure the Quality of Credit Scoring Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 486-507, November.
  25. McDonald, Ross A. & Sturgess, Matthew & Smith, Keith & Hawkins, Michael S. & Huang, Edward Xiao-Ming, 2012. "Non-linearity of scorecard log-odds," International Journal of Forecasting, Elsevier, vol. 28(1), pages 239-247.
  26. Lei Lu & Jianxing Wei & Weixing Wu & Yi Zhou, 2023. "Pricing strategies in BigTech lending: Evidence from China," Financial Management, Financial Management Association International, vol. 52(2), pages 333-374, June.
  27. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  28. Finlay, Steven, 2011. "Multiple classifier architectures and their application to credit risk assessment," European Journal of Operational Research, Elsevier, vol. 210(2), pages 368-378, April.
  29. Kanshukan Rajaratnam & Peter Beling & George Overstreet, 2017. "Regulatory capital decisions in the Context of consumer loan portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 847-858, July.
  30. So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
  31. Douw Gerbrand Breed & Niel van Jaarsveld & Carsten Gerken & Tanja Verster & Helgard Raubenheimer, 2021. "Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study," Risks, MDPI, vol. 9(11), pages 1-22, November.
  32. Gustavo Henrique Araujo Pereira & Rinaldo Artes, 2016. "A comparison of strategies to develop a customer default scoring model," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 67(11), pages 1341-1352, November.
  33. Verbraken, Thomas & Bravo, Cristián & Weber, Richard & Baesens, Bart, 2014. "Development and application of consumer credit scoring models using profit-based classification measures," European Journal of Operational Research, Elsevier, vol. 238(2), pages 505-513.
  34. So, Mee Chi & Thomas, Lyn C. & Huang, Bo, 2016. "Lending decisions with limits on capital available: The polygamous marriage problem," European Journal of Operational Research, Elsevier, vol. 249(2), pages 407-416.
  35. Martin Řezáč, 2011. "Advanced empirical estimate of information value for credit scoring models," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 59(2), pages 267-274.
  36. M Malik & L C Thomas, 2010. "Modelling credit risk of portfolio of consumer loans," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 411-420, March.
  37. Douw Gerbrand Breed & Tanja Verster & Willem D. Schutte & Naeem Siddiqi, 2019. "Developing an Impairment Loss Given Default Model Using Weighted Logistic Regression Illustrated on a Secured Retail Bank Portfolio," Risks, MDPI, vol. 7(4), pages 1-16, December.
  38. Piotr Bialowolski & Andrzej Cwynar & Dorota Weziak‐Bialowolska, 2024. "Credit purpose and the interest rate – Evidence from the European Household Finance and Consumption Survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 162-176, January.
  39. 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.
  40. Raffaella Calabrese & Galina Andreeva & Jake Ansell, 2019. "“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults," Risk Analysis, John Wiley & Sons, vol. 39(1), pages 71-84, January.
  41. Dendramis, Y. & Tzavalis, E. & Varthalitis, P. & Athanasiou, E., 2020. "Predicting default risk under asymmetric binary link functions," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1039-1056.
  42. Arno Botha & Tanja Verster & Roelinde Bester, 2024. "The TruEnd-procedure: Treating trailing zero-valued balances in credit data," Papers 2404.17008, arXiv.org.
  43. Krivorotov, George, 2023. "Machine learning-based profit modeling for credit card underwriting - implications for credit risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
  44. Fernandes, Guilherme Barreto & Artes , Rinaldo, 2013. "Spatial correlation in credit risk and its improvement in credit scoring," Insper Working Papers wpe_321, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  45. Fahner, Gerald, 2012. "Estimating causal effects of credit decisions," International Journal of Forecasting, Elsevier, vol. 28(1), pages 248-260.
  46. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn C., 2012. "Mixture cure models in credit scoring: If and when borrowers default," European Journal of Operational Research, Elsevier, vol. 218(1), pages 132-139.
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