Kim, Young-Ah and Moffatt, Peter G and Peters, Simon (2022) Generalised additive modelling of the credit risk of Korean personal bank loans. Journal of Credit Risk, 18 (3). pp. 77-103. DOI https://doi.org/10.21314/jcr.2022.004
Kim, Young-Ah and Moffatt, Peter G and Peters, Simon (2022) Generalised additive modelling of the credit risk of Korean personal bank loans. Journal of Credit Risk, 18 (3). pp. 77-103. DOI https://doi.org/10.21314/jcr.2022.004
Kim, Young-Ah and Moffatt, Peter G and Peters, Simon (2022) Generalised additive modelling of the credit risk of Korean personal bank loans. Journal of Credit Risk, 18 (3). pp. 77-103. DOI https://doi.org/10.21314/jcr.2022.004
Abstract
We analyze consumer defaults in a sample of 64,000 customers taking personal loans from a Korean bank. Applying a Generalized Additive Modeling (GAM) framework, we show a non-linear impact of loan and borrower characteristics. In particular, the likelihood of default is high for both low income borrowers as well as high income borrowers. Our results are robust to a range of different tests, and highlight the usefulness of the GAM framework, especially the graphical presentation of non-linearities.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | generalized additive models; basis splines (B-splines); credit scoring; loan defaults; signal detection theory; misclassification costs |
| Divisions: | Faculty of Social Sciences > Essex Business School |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 03 Nov 2021 11:38 |
| Last Modified: | 26 Aug 2023 01:00 |
| URI: | http://repository.essex.ac.uk/id/eprint/31086 |
Available files
Filename: JCR Publication version (YK_PM_SP).pdf