دانلود مقاله ISI انگلیسی شماره 48528
عنوان فارسی مقاله

مدل ماتریس انتقال رتبه بندی اعتباری مصرف کننده

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48528 2012 12 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Transition matrix models of consumer credit ratings
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Journal of Forecasting, Volume 28, Issue 1, January–March 2012, Pages 261–272

کلمات کلیدی
زنجیره مارکوف - ریسک اعتباری - رگرسیون لجستیک - اعتبارسنجی
پیش نمایش مقاله
پیش نمایش مقاله مدل ماتریس انتقال رتبه بندی اعتباری مصرف کننده

چکیده انگلیسی

Although the corporate credit risk literature includes many studies modelling the change in the credit risk of corporate bonds over time, there has been far less analysis of the credit risk for portfolios of consumer loans. However, behavioural scores, which are calculated on a monthly basis by most consumer lenders, are the analogues of ratings in corporate credit risk. Motivated by studies of corporate credit risk, we develop a Markov chain model based on behavioural scores for establishing the credit risk of portfolios of consumer loans. Although such models have been used by lenders to develop models for the Basel Accord, nothing has been published in the literature on them. The model which we suggest differs in many respects from the corporate credit ones based on Markov chains — such as the need for a second order Markov chain, the inclusion of economic variables and the age of the loan. The model is applied using data on a credit card portfolio from a major UK bank.

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