Estimating the recovery rate and recovery amount has become important in consumer credit due to the new Basel Accord regulation and the increase in the number of defaulters as a result of the recession. We compare linear regression and survival analysis models for modelling recovery rates and...

Mixture cure models were originally proposed in medical statistics to model long-term survival of cancer patients in terms of two distinct subpopulations – those that are cured of the event of interest and will never relapse, along with those that are uncured and are susceptible to the event....

The use of credit scoring - the quantitative and statistical techniques to assess the credit risks involved in lending to consumers - has been one of the most successful if unsung applications of mathematics in business for the last fifty years. Now with lenders changing their objectives from...

Credit scoring is one of the most successful applications of statistical and management science techniques in finance in the last forty years. This unique collection of recent papers, with comments by experts in the field, provides excellent coverage of recent developments, advances and aims in...

This paper derives a Markov decision process model for the profitability of credit cards, which allows lenders to find an optimal dynamic credit limit policy. The states of the system are based on the borrower's behavioural score and the decisions are what credit limit to give the borrower each...

Although the corporate credit risk literature includes many studies modelling the change in the credit risk of corporate bonds over time, there has been far less analysis of the credit risk for portfolios of consumer loans. However, behavioural scores, which are calculated on a monthly basis by...