A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk
Abstract
This paper introduces an approach designed for personal credit risk. We define a structural model related to the financial balance of an individual, allowing for cashflow seasonality and deterministic trends in the process. This formulation is best suited for short-term loans. Using this model, we develop risk measures associated with the probability of default conditional on time. We illustrate empirical applications by estimating an empirical...
Paper Details
Title
A Consumer Credit Risk Structural Model Based on Affordability: Balance at Risk
Published Date
Mar 24, 2016
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