Related papers: Assessment of loan losses after default
Predicting the probability of default (PD) of prospective loans is a critical objective for financial institutions. In recent years, machine learning (ML) algorithms have achieved remarkable success across a wide variety of prediction…
All multi-component product manufacturing companies face the problem of warranty cost estimation. Failure rate analysis of components plays a key role in this problem. Data source used for failure rate analysis has traditionally been past…
A novel procedure is presented for finding the true but latent endpoints within the repayment histories of individual loans. The monthly observations beyond these true endpoints are false, largely due to operational failures that delay…
Banks are important for the development of economies in any financial ecosystem through consumer and business loans. Lending, however, presents risks; thus, banks have to determine the applicant's financial position to reduce the…
Accurate prediction of future loan defaults is a critical capability for financial institutions that provide lines of credit. For institutions that issue and manage extensive loan volumes, even a slight improvement in default prediction…
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first step, we show that the long-run default rate is approximately…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…
Student loans occupy a significant portion of the federal budget, as well as, the largest financial burden in terms of debt for graduates. This paper explores data-driven approaches towards understanding the repayment of such loans. Using…
Degradation data are considered for assessing reliability in highly reliable systems. The usual assumption is that degradation units come from a homogeneous population. But in presence of high variability in the manufacturing process, this…
This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it…
The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank's portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by…
Self-Admitted Technical Debt (SATD), cases where developers intentionally acknowledge suboptimal solutions in code through comments, poses a significant challenge to software maintainability. Left unresolved, SATD can degrade code quality…
Technical debt refers to the consequences of sub-optimal decisions made during software development that prioritize short-term benefits over long-term maintainability. Self-Admitted Technical Debt (SATD) is a specific form of technical…
This paper develops maintenance policies for a system under condition monitoring. We assume that a number of defects may develop and the degradation process of each defect follows a gamma process, respectively. The system is inspected…
The Tweedie exponential dispersion family is a popular choice among many to model insurance losses that consist of zero-inflated semicontinuous data. In such data, it is often important to obtain credibility (inference) of the most…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…
Since the 1990s, there have been significant advances in the technology space and the e-Commerce area, leading to an exponential increase in demand for cashless payment solutions. This has led to increased demand for credit cards, bringing…