A novel family of indexes to describe borrowers' creditworthiness is introduced, both for fixed term loans and for open-ended products as credit cards. Some interpretations of the indexes are given. It is described how to link indexes to the profitability of the credit financial operation. For open-ended products, a competing survival analysis methodology is proposed to estimate the cashflow returns and illustrated with a simulation.
A new index of creditworthiness for retail credit products / L. Vannucci; L. Quirini. - In: JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY. - ISSN 0160-5682. - STAMPA. - 61:(2010), pp. 455-461. [10.1057/jors.2009.68]
A new index of creditworthiness for retail credit products
VANNUCCI, LUIGI;
2010
Abstract
A novel family of indexes to describe borrowers' creditworthiness is introduced, both for fixed term loans and for open-ended products as credit cards. Some interpretations of the indexes are given. It is described how to link indexes to the profitability of the credit financial operation. For open-ended products, a competing survival analysis methodology is proposed to estimate the cashflow returns and illustrated with a simulation.
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