haku: @indexterm CREDIT MANAGEMENT / yhteensä: 141
viite: 8 / 141
| Tekijä: | Jacobson, T. Roszbach, K. |
| Otsikko: | Bank lending policy, credit scoring and value-at-risk |
| Lehti: | Journal of Banking and Finance
2003 : APR, VOL. 27:4, p. 615-633 |
| Asiasana: | Banks Credit management Value-at-risk |
| Kieli: | eng |
| Tiivistelmä: | The authors build on the credit-scoring literature and propose a method to calculate portfolio credit risk. Individual default risk estimates are used to compose a value-at-risk measure of credit risk. The paper uses a large data set with Swedish consumer credit data that contains extensive financial and personal information on both rejected and approved applications. The results show that the size of a small consumer loan does not affect associated default-risk minimization. VaR calculations indicate that an efficient selection of loan applicants can reduce credit risk by up to 80%. |
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