Nonfiction 6

Advances in credit risk modelling and corporate bankruptcy by Jones S., Hensher D.A. (eds.)

By Jones S., Hensher D.A. (eds.)

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Default probabilities shows that the model predicts negative profits for most individuals whose estimated default probability exceeds roughly ten per cent. 5 for the threshold for predicting default is obviously far too high to be effective in this setting. ’s finding that applicants whose default probability exceeded nine per cent were generally associated with negative profits. We find exactly the same result. But they suggest at several points that higher balances are likely to be associated with higher expected earnings.

TRADACCT ¼ number of open, active trade lines. ) Credit Bureau Data CREDOPEN CREDACTV CREDDEL30 CRED30DLNQ AVGRVBAL AVBALINC ¼ number of open and current trade accounts. ¼ number of active trades lines. ¼ number of trade lines 30 days past due at the time of the report. ¼ number of 30 day delinquencies within 12 months. ¼ dollar amount of average revolving balance. ¼ average revolving balance divided by average monthly income. Market Data BUYPOWER PCTCOLL MEDAGE MEDINC PCTOWN PCTBLACK PCTSPAN GROWTH PCTEMPL ¼ buying power index.

CRDBRINQ ¼ number of credit bureau inquiries. CREDMAJR ¼ 1 if first credit card indicated on application is a major credit card. CREDDEPT ¼ 1 if first credit card indicated is a department store card. CREDGAS ¼ 1 if first credit card indicated is a gasoline company. CURTRADE ¼ number of current trade item accounts (existing charge accounts). MTHEMPLOY ¼ months employed. Types of Bank Accounts BANKSAV BANKCH BANKBOTH ¼ 1 if only savings account, 0 otherwise. ¼ 1 if only checking account, 0 else.

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