Anna Matuszyk

SGH Warsaw School of Economics | SGH

A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics and practitioners. The main purpose of this paper is to propose new LGD estimation approaches that...

We develop a novel extension of the mover-stayer model to allow for time-dependent variables such as macroeconomic factors and apply it to the repayment process for car loans. The MS model postulates a simple form of population heterogeneity, which is particularly well suited to describing the repayment process: a proportion of borrowers always rep...

Financial fraud is escalating as financial services and operations grow. Despite preventive actions and security measures deployed to mitigate financial fraud, fraudsters are learning and finding new ways to get around fraud prevention systems, thereby, challenging quantitative techniques and predictive models. Thus, new techniques must be explored...

Random survival forest for Competing Risks (CR Rsf) is a tree-based estimation and prediction method. The applications of this recently proposed method have not yet been considered in the extant credit risk literature. The appealing features of CR Rsf compared to the existing competing risks methods are that it is nonparametric and has the ability...

Gender is prohibited from use in decision making in many countries. This does not necessarily benefit females in situations of automated algorithmic decisions, e.g. when a credit scoring model is used as a decision tool for loan granting. By analysing a unique proprietary data set on car loans from a European bank, the paper shows that gender as a...

A discrete time Markov chain assumes that the population is homogeneous, each individual in the population evolves according to the same transition matrix. In contrast, a discrete mover‐stayer (MS) model postulates a simple form of population heterogeneity; in each initial state, there is a proportion of individuals who never leave this state (stay...

Credit risk is considered to be a key risk in banking activity. Statistical and data mining bankruptcy prediction models can be used in assessing the credit risk of enterprises. In the case of small and medium enterprises, qualitative factors are as important as financial ones. In this paper those financial ratios and qualitative factors that are t...

A discrete-time mover-stayer (MS) model is an extension of a discrete-time Markov chain, which assumes a simple form of population heterogeneity. The individuals in the population are either stayers, who never leave their initial states or movers who move according to a Markov chain. We, in turn, propose an extension of the MS model by specifying t...

In this research, we focus on fraud modelling for car leases. The research objective is to investigate whether it is possible to improve the performance of such models by using additional knowledge derived from the area of fraud modelling for car loans. Two logistic regression models are developed for this purpose. The first model only uses the dat...

The paper aims at examining the degree to which artificial neural networks are a suitable approach to aid risk management in the car financing industry. More specifically, we empirically compare a classic feedforward neural network to a recently proposed extreme learning machine. To that end, we employ a real-world credit data set from a leading ca...

One approach to modelling Loss Given Default (LGD), the percentage of the defaulted amount of a loan that a lender will eventually lose is to model the collections process. This is particularly relevant for unsecured consumer loans where LGD depends both on a defaulter's ability and willingness to repay and the lender's collection strategy. When re...

Abstract: The aim of this paper was to compare the new technique (survival analysis) used in the credit risk models with the traditional one (discriminant analysis), analyse the strengths and weaknesses of both methods and their usage in practice. This study attempts to use macroeconomic data to build models and examine its impact to the prediction...

This paper discusses the similarities and the 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 Loss Given Default (LGD) can be used in both cases the details will be significantly different. In particular the form of the LGD dist...

This paper discusses the similarities and the 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 Loss Given Default (LGD) can be used in both cases the details will be significantly different. In particular the form of the LGD dis...

In this article, we describe the construction and implementation of a pricing model for a leading UK mortgage lender. The crisis in mortgage lending has highlighted the importance of incorporating default risk into such pricing decisions by mortgage lenders. In this case the underlying default model is based on survival analysis, which allows the e...

The New Basel Accord, which was implemented in 2007, has made a significant difference to the use of modelling within financial organisations. In particular it has highlighted the importance of Loss Given Default (LGD) modelling. We propose a decision tree approach to modelling LGD for unsecured consumer loans where the uncertainty in some of the n...

The Basel New Accord which is being implemented throughout the banking world on 1 January 2007 has made a significant difference to the use of modelling within financial organisations. In particular it has highlighted the importance of Loss Given Default (LGD) modelling. We propose a decision tree approach to modelling LGD in the consumer credit ar...

This paper provides an overview of the status and structure of the credit bureaus in the countries of Central and Eastern Europe versus Western Europe. It addresses three issues: whether there is a structure of credit bureaus in Europe and if not why not; Investigates how the Central and Eastern European countries are developing bureaus and whether...

The Basel New Accord which is being implemented throughout the banking world on 1 January 2007 has made a significant difference to the use of modelling within financial organisations. In particular it has highlighted the importance of Loss Given Default (LGD) modelling. We propose a decision tree approach to modelling LGD in the consumer credit ar...

The process of integration with European Union means lots of changes in the functioning conditions of enterprises. They must adjust to norms and standards that are obligatory in EU. Polish market became a part of uniform European market. This situation forced economic entities to start adaptation processes to new conditions. Small and medium enterp...