| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21305 |
| 来源ID | Working Paper 21305 |
| Risk and Risk Management in the Credit Card Industry | |
| Florentin Butaru; QingQing Chen; Brian Clark; Sanmay Das; Andrew W. Lo; Akhtar Siddique | |
| 发表日期 | 2015-06-29 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Using account level credit-card data from six major commercial banks from January 2009 to December 2013, we apply machine-learning techniques to combined consumer-tradeline, credit-bureau, and macroeconomic variables to predict delinquency. In addition to providing accurate measures of loss probabilities and credit risk, our models can also be used to analyze and compare risk management practices and the drivers of delinquency across the banks. We find substantial heterogeneity in risk factors, sensitivities, and predictability of delinquency across banks, implying that no single model applies to all six institutions. We measure the efficacy of a bank’s risk-management process by the percentage of delinquent accounts that a bank manages effectively, and find that efficacy also varies widely across institutions. These results suggest the need for a more customized approached to the supervision and regulation of financial institutions, in which capital ratios, loss reserves, and other parameters are specified individually for each institution according to its credit-risk model exposures and forecasts. |
| 主题 | Microeconomics ; Households and Firms ; Macroeconomics ; Consumption and Investment ; Monetary Policy ; Financial Economics ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w21305 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578980 |
| 推荐引用方式 GB/T 7714 | Florentin Butaru,QingQing Chen,Brian Clark,et al. Risk and Risk Management in the Credit Card Industry. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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