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| Author: | Paul, S. Stein, S. Kaltofen, D. |
| Title: | Portfolio-Segmentierung und Eigenkapitalersparnis im Retail-Geschäft von Banken |
| Journal: | Betriebswirtschaft
2004 : SEP/OCT, VOL. 64:5, p. 571-589 |
| Index terms: | banks consumers loans credit risk segmentation |
| Freeterms: | portfolios |
| Language: | ger |
| Abstract: | This paper presents a new technique for grouping retail loans into homogenous pools, which adheres to the provisions of Basel II. Recursive partitioning is used, testing it on a data set of 1.4 million consumer loans. It is found that banks can achieve significant savings in regulatory capital as a result of optimizing the process (original in German). |
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