tailieunhanh - Measurement, Monitoring, and Forecasting of Consumer Credit Default Risk – An Indicator Approach Based on Individual Payment Histories

With the increased use of technology to share information among law enforcement agencies and the courts, it is common for jurisdictions to place information regarding civil and criminal cases, including protection 9 orders, in secure governmental databases or on websites to allow for easy access to case information. VAWA limits the personal information that can be publicly posted on the Internet. It specifically prohibits information “regarding the registration, filing of a petition for, or issuance of a protection order, restraining order, or injunction in either the issuing or enforcing” jurisdiction, if such information “would be likely to publicly reveal the identity or location of the party protected under such order.”. | SCHUMPETER DISCUSSION PAPERS Measurement Monitoring and Forecasting of Consumer Credit Default Risk - An Indicator Approach Based on Individual Payment Histories The Schumpeter Discussion Papers are a publication of the Schumpeter School of Business and Economics University of Wuppertal Germany For editorial correspondence please contact SSBEEditor@ SDP 2011-004 ISSN 1867-5352 Impressum Bergische Universiãt Wuppertal GauBstraBe 20 42119 Wuppertal by the author Alexandra Schwarz BERGISCHE UNIVERSITÀT WUPPERTAL SCHUMPETER DISCUSSION PAPERS 2011-004 Measurement Monitoring and Forecasting of Consumer Credit Default Risk An Indicator Approach Based on Individual Payment Histories Alexandra Schwarz German Institute for International Educational Research Frankfurt am Main Germany Abstract The statistical techniques which cover the process of modeling and evaluating consumer credit risk have become widely accepted instruments in risk management. In contrast we find only few and vague statements on how to define the default event i. e. on the concrete circumstances that lead to the decision of identifying a certain credit as defaulted. Based on a large data set of individual payment histories this paper investigates a possible solution to this problem in the area of installment purchase. The proposed definition of default is based on the time due amounts are outstanding and the resulting profitability of the receivables portfolio. Furthermore to assess the individual payment performance during the credit period indicators for monitoring and forecasting default events are derived. The empirical results show that these indicators generate valuable information which can be used by the creditor to improve his credit and collection policy and hence to improve cash flows and reduce bad debt loss. Keywords Credit Risk Analysis Credit Default Risk Management Accounts Receivable Management Performance Measurement JEL Classification C44 G32 .