Mitigating Default Risk in the Consumer Credit Market
(2016) NEKN01 20161Department of Economics
- Abstract
- This paper aims to evaluate recent policy updates in a credit scoring model and determine if the new model is efficient, as well as further investigate other potential risk factors. In order to evaluate the policy changes, the proprietary dataset is first categorized and estimated by a logistical regression model and secondly the dataset is transformed according to new policies and then simulated in a second regression. The choice of variables is further tested to ensure robust result of the identified risk factors and best fitting of the model. The discoveries points towards efficient implemented policy changes to the scoring model, and the identification of other potential risk factors which leads to a set of managerial suggestions.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8891123
- author
- Halén Dahlström, Jacob LU
- supervisor
- organization
- course
- NEKN01 20161
- year
- 2016
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Credit scoring models, Probability of default, Logistical regression, Maximum likelihood, Information value
- language
- English
- id
- 8891123
- date added to LUP
- 2016-09-09 14:05:43
- date last changed
- 2016-09-09 14:05:43
@misc{8891123, abstract = {{This paper aims to evaluate recent policy updates in a credit scoring model and determine if the new model is efficient, as well as further investigate other potential risk factors. In order to evaluate the policy changes, the proprietary dataset is first categorized and estimated by a logistical regression model and secondly the dataset is transformed according to new policies and then simulated in a second regression. The choice of variables is further tested to ensure robust result of the identified risk factors and best fitting of the model. The discoveries points towards efficient implemented policy changes to the scoring model, and the identification of other potential risk factors which leads to a set of managerial suggestions.}}, author = {{Halén Dahlström, Jacob}}, language = {{eng}}, note = {{Student Paper}}, title = {{Mitigating Default Risk in the Consumer Credit Market}}, year = {{2016}}, }