On loss distributions from installment-repaid loans

DOI10.1007/S10985-005-5239-6zbMATH Open1157.91379OpenAlexW1986190682WikidataQ51958846 ScholiaQ51958846MaRDI QIDQ995970FDOQ995970

Authors: Martin Crowder, David J. Hand 

Publication date: 10 September 2007

Published in: Lifetime Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10985-005-5239-6

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zbMATH Keywords

credit riskdefault timeportfolio riskdiscrete-time survivalinstallment repaymentsloan lifetimeloss distributionsrepayment failure time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Survival in dynamic environments
• Numerical inversion of a characteristic function
• Numerical inversions of characteristic functions

Cited In (6)

• An application of risk theory to mortgage lending
• Modeling lifetime expected credit losses on bank loans
• Loan transactions with random dates for the first and last periodic instalments
• On a class of loans with a systematic amortisation schedule
• Hurdle models of loan default
• Provisioning against borrowers default risk

Uses Software

• CreditRisk+

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