Consumer credit models: pricing, profit, and portfolios
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford Univ. Press
2009
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 385 S. graph. Darst. |
| ISBN: | 9780199232130 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035114325 | ||
| 003 | DE-604 | ||
| 005 | 20100511 | ||
| 007 | t | ||
| 008 | 081022s2009 xxud||| |||| 00||| eng d | ||
| 010 | |a 2008031652 | ||
| 020 | |a 9780199232130 |9 978-0-19-923213-0 | ||
| 035 | |a (OCoLC)234260184 | ||
| 035 | |a (DE-599)BVBBV035114325 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-29 |a DE-12 |a DE-11 |a DE-355 | ||
| 050 | 0 | |a HG3755 | |
| 082 | 0 | |a 658.88011 |2 22 | |
| 082 | 0 | |a 332.7/43 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Thomas, Lyn C. |d 1946-2016 |e Verfasser |0 (DE-588)170238113 |4 aut | |
| 245 | 1 | 0 | |a Consumer credit models |b pricing, profit, and portfolios |c Lyn C. Thomas |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2009 | |
| 300 | |a XII, 385 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Consumer credit | |
| 650 | 4 | |a Consumer credit |x Mathematical models | |
| 650 | 4 | |a Credit scoring systems | |
| 650 | 0 | 7 | |a Mathematisches Modell |0 (DE-588)4114528-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Konsumentenkredit |0 (DE-588)4032243-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Konsumentenkredit |0 (DE-588)4032243-9 |D s |
| 689 | 0 | 1 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016782098&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016782098 | ||
Datensatz im Suchindex
| _version_ | 1804138088591523840 |
|---|---|
| adam_text | Contents
Acknowledgements xiii
1 Introduction to consumer credit and credit
scoring 1
1.1 Introduction: importance and impact of consumer
credit 1
1.2 Historical background of default-based credit
scoring 5
1.3 Objectives of lenders 9
1.4 Tools for modelling lending decisions: influence diagrams,
decision trees, and strategy trees 13
1.5 Probabilities, odds, information, and scores 25
1.6 Modifying scores: scaling, multiple levels, and time
dependency 41
1.7 Lending returns and costs 53
1.8 Fundamentals of scorecard building 62
1.9 Using logistic regression to build scorecards 79
1.10 Other scorecard-building approaches 84
2 Measurement of scoring systems 100
2.1 Measuring scorecard quality 100
2.2 Discrimination measures: divergence, Kolmogorov-Smirnov
statistic, and D-concordance statistic 104
2.3 ROC curve and Gini coefficient 115
2.4 Scorecard segmentation and measuring its impact on
discrimination 128
2.5 Calibration measures of scorecard probability
predictions 137
2.6 Measures of the correctness of categorical
prediction 146
3 Risk-based pricing 152
3.1 Variable pricing in consumer lending 152
3.2 Risk-free response rate function and optimal
pricing 160
3.3 Risk response relationship, adverse selection, and
affordability 169
xii CONTENTS
3.4 Risk-based response function and risk-based
pricing 175
3.5 Acceptance scoring for multi-feature offers 186
3.6 A borrower-lender game model for pricing 196
4 Profit scoring and dynamic models 204
4.1 Behavioural scoring and dynamic account
management 204
4.2 Profit scoring, risk/reward matrices to customer
behaviour dynamics 212
4.3 Markov chain models of account behaviour 220
4.4 Markov decision process models of profitability 237
4.5 Survival analysis-based scoring systems and default
estimation 251
4.6 Survival analysis-based profit models, including attrition
and prepayment 269
5 Portfolio credit risk and the Basel Accord 278
5.1 Portfolio credit risk 278
5.2 Economic and regulatory capital 286
5.3 Summary of Basel Capital Accords 289
5.4 Basel II regulations and their impact on credit
scoring 303
5.5 Regulatory capital and optimal cut-off policies 314
5.6 Modelling credit risk for portfolios of consumer and corporate
loans 330
5.7 Basel stress testing of consumer portfolios: static and dynamic
approaches 347
Appendices 360
A Scores and runbook example 360
B Southampton bank application data 362
References 365
Index 371
|
| adam_txt |
Contents
Acknowledgements xiii
1 Introduction to consumer credit and credit
scoring 1
1.1 Introduction: importance and impact of consumer
credit 1
1.2 Historical background of default-based credit
scoring 5
1.3 Objectives of lenders 9
1.4 Tools for modelling lending decisions: influence diagrams,
decision trees, and strategy trees 13
1.5 Probabilities, odds, information, and scores 25
1.6 Modifying scores: scaling, multiple levels, and time
dependency 41
1.7 Lending returns and costs 53
1.8 Fundamentals of scorecard building 62
1.9 Using logistic regression to build scorecards 79
1.10 Other scorecard-building approaches 84
2 Measurement of scoring systems 100
2.1 Measuring scorecard quality 100
2.2 Discrimination measures: divergence, Kolmogorov-Smirnov
statistic, and D-concordance statistic 104
2.3 ROC curve and Gini coefficient 115
2.4 Scorecard segmentation and measuring its impact on
discrimination 128
2.5 Calibration measures of scorecard probability
predictions 137
2.6 Measures of the correctness of categorical
prediction 146
3 Risk-based pricing 152
3.1 Variable pricing in consumer lending 152
3.2 Risk-free response rate function and optimal
pricing 160
3.3 Risk response relationship, adverse selection, and
affordability 169
xii CONTENTS
3.4 Risk-based response function and risk-based
pricing 175
3.5 Acceptance scoring for multi-feature offers 186
3.6 A borrower-lender game model for pricing 196
4 Profit scoring and dynamic models 204
4.1 Behavioural scoring and dynamic account
management 204
4.2 Profit scoring, risk/reward matrices to customer
behaviour dynamics 212
4.3 Markov chain models of account behaviour 220
4.4 Markov decision process models of profitability 237
4.5 Survival analysis-based scoring systems and default
estimation 251
4.6 Survival analysis-based profit models, including attrition
and prepayment 269
5 Portfolio credit risk and the Basel Accord 278
5.1 Portfolio credit risk 278
5.2 Economic and regulatory capital 286
5.3 Summary of Basel Capital Accords 289
5.4 Basel II regulations and their impact on credit
scoring 303
5.5 Regulatory capital and optimal cut-off policies 314
5.6 Modelling credit risk for portfolios of consumer and corporate
loans 330
5.7 Basel stress testing of consumer portfolios: static and dynamic
approaches 347
Appendices 360
A Scores and runbook example 360
B Southampton bank application data 362
References 365
Index 371 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Thomas, Lyn C. 1946-2016 |
| author_GND | (DE-588)170238113 |
| author_facet | Thomas, Lyn C. 1946-2016 |
| author_role | aut |
| author_sort | Thomas, Lyn C. 1946-2016 |
| author_variant | l c t lc lct |
| building | Verbundindex |
| bvnumber | BV035114325 |
| callnumber-first | H - Social Science |
| callnumber-label | HG3755 |
| callnumber-raw | HG3755 |
| callnumber-search | HG3755 |
| callnumber-sort | HG 43755 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 320 SK 980 |
| ctrlnum | (OCoLC)234260184 (DE-599)BVBBV035114325 |
| dewey-full | 658.88011 332.7/43 |
| dewey-hundreds | 600 - Technology (Applied sciences) 300 - Social sciences |
| dewey-ones | 658 - General management 332 - Financial economics |
| dewey-raw | 658.88011 332.7/43 |
| dewey-search | 658.88011 332.7/43 |
| dewey-sort | 3658.88011 |
| dewey-tens | 650 - Management and auxiliary services 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01721nam a2200469 c 4500</leader><controlfield tag="001">BV035114325</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100511 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">081022s2009 xxud||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2008031652</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780199232130</subfield><subfield code="9">978-0-19-923213-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)234260184</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035114325</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-29</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-355</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG3755</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">658.88011</subfield><subfield code="2">22</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.7/43</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Thomas, Lyn C.</subfield><subfield code="d">1946-2016</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)170238113</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Consumer credit models</subfield><subfield code="b">pricing, profit, and portfolios</subfield><subfield code="c">Lyn C. Thomas</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1. publ.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford [u.a.]</subfield><subfield code="b">Oxford Univ. Press</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 385 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Consumer credit</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Consumer credit</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Credit scoring systems</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Konsumentenkredit</subfield><subfield code="0">(DE-588)4032243-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Konsumentenkredit</subfield><subfield code="0">(DE-588)4032243-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Mathematisches Modell</subfield><subfield code="0">(DE-588)4114528-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016782098&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016782098</subfield></datafield></record></collection> |
| id | DE-604.BV035114325 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:18:56Z |
| indexdate | 2024-07-09T21:22:38Z |
| institution | BVB |
| isbn | 9780199232130 |
| language | English |
| lccn | 2008031652 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016782098 |
| oclc_num | 234260184 |
| open_access_boolean | |
| owner | DE-29 DE-12 DE-11 DE-355 DE-BY-UBR |
| owner_facet | DE-29 DE-12 DE-11 DE-355 DE-BY-UBR |
| physical | XII, 385 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| spelling | Thomas, Lyn C. 1946-2016 Verfasser (DE-588)170238113 aut Consumer credit models pricing, profit, and portfolios Lyn C. Thomas 1. publ. Oxford [u.a.] Oxford Univ. Press 2009 XII, 385 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Consumer credit Consumer credit Mathematical models Credit scoring systems Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Konsumentenkredit (DE-588)4032243-9 gnd rswk-swf Konsumentenkredit (DE-588)4032243-9 s Mathematisches Modell (DE-588)4114528-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016782098&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Thomas, Lyn C. 1946-2016 Consumer credit models pricing, profit, and portfolios Mathematisches Modell Consumer credit Consumer credit Mathematical models Credit scoring systems Mathematisches Modell (DE-588)4114528-8 gnd Konsumentenkredit (DE-588)4032243-9 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4032243-9 |
| title | Consumer credit models pricing, profit, and portfolios |
| title_auth | Consumer credit models pricing, profit, and portfolios |
| title_exact_search | Consumer credit models pricing, profit, and portfolios |
| title_exact_search_txtP | Consumer credit models pricing, profit, and portfolios |
| title_full | Consumer credit models pricing, profit, and portfolios Lyn C. Thomas |
| title_fullStr | Consumer credit models pricing, profit, and portfolios Lyn C. Thomas |
| title_full_unstemmed | Consumer credit models pricing, profit, and portfolios Lyn C. Thomas |
| title_short | Consumer credit models |
| title_sort | consumer credit models pricing profit and portfolios |
| title_sub | pricing, profit, and portfolios |
| topic | Mathematisches Modell Consumer credit Consumer credit Mathematical models Credit scoring systems Mathematisches Modell (DE-588)4114528-8 gnd Konsumentenkredit (DE-588)4032243-9 gnd |
| topic_facet | Mathematisches Modell Consumer credit Consumer credit Mathematical models Credit scoring systems Konsumentenkredit |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016782098&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT thomaslync consumercreditmodelspricingprofitandportfolios |