Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Banerjee, Piu 

Working Paper
Credit risk analysis of credit card portfolios under economic stress conditions

We develop an empirical framework for the credit risk analysis of a generic portfolio of revolving credit accounts and apply it to analyze a representative panel data set of credit card accounts from a credit bureau. These data cover the period of the most recent deep recession and provide the opportunity to analyze the performance of such a portfolio under significant economic stress conditions. We consider a traditional framework for the analysis of credit risk where the probability of default (PD), loss given default (LGD), and exposure at default (EAD) are explicitly considered. The ...
Working Papers , Paper 12-18

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Keywords

Credit 1 items

Unemployment 1 items

PREVIOUS / NEXT