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Comparing debt characteristics and LGD models for different collections policies

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  • Thomas, L.C.
  • Matuszyk, A.
  • Moore, A.
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    Abstract

    This paper discusses the similarities and differences in the collection process between in-house and 3rd party collection. The objective is to show that, although the same type of modelling approach to estimating the Loss Given Default (LGD) can be used in both cases, the details will be significantly different. In particular, the form of the LGD distribution suggests that one needs to split the distribution in different ways in the two cases, as well as using different variables. The comparisons are made using two data sets of the collection outcomes from two sets of unsecured consumer defaulters.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 28 (2012)
    Issue (Month): 1 ()
    Pages: 196-203

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    Handle: RePEc:eee:intfor:v:28:y:2012:i:1:p:196-203

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    Web page: http://www.elsevier.com/locate/ijforecast

    Related research

    Keywords: Credit risk; Collection process; LGD modelling;

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    Cited by:
    1. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn, 2013. "A zero-adjusted gamma model for mortgage loan loss given default," International Journal of Forecasting, Elsevier, vol. 29(4), pages 548-562.
    2. Fedaseyeu, Viktar & Hunt, Robert M., 2014. "The economics of debt collection: enforcement of consumer credit contracts," Working Papers 14-7, Federal Reserve Bank of Philadelphia.

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