Modelling LGD for unsecured personal loans: decision tree approach

The Basel New Accord which is being implemented throughout the banking world on 1 January 2007 has made a significant difference to the use of modelling within financial organisations. In particular it has highlighted the importance of Loss Given Default (LGD) modelling. We propose a decision tree approach to modelling LGD in the consumer credit area and using real data from the financial organisation in UK model the components that make up this tree. Key words: Basel II, consumer credit, LGD

• Type: Journal
• Year: 2010
• Where: JORS
• Authors: Ania Matuszyk, C. Mues, Lyn C. Thomas
• Keywords: Consumer Credit, Financial Organisation, JORS 2010, Modelling