Loss given default models incorporating macroeconomic variables for credit cards

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Crook, J. ; Bellotti, T. (2012)
  • Related identifiers: doi: 10.1016/j.ijforecast.2010.08.005
  • Subject: Loss given default | Credit cards | Basel II | /dk/atira/pure/subjectarea/asjc/1400/1403 | Business and International Management

Based on UK data for major retail credit cards, we build several models of Loss Given Default based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic v... View more
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