Risk and return prediction for pricing portfolios of non-performing consumer credit

Siyi Wang, Xing Yan, Bangqi Zheng, Hu Wang, Wangli Xu, Nanbo Peng and Qi Wu

Papers from arXiv.org

Abstract: We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a manner of risk transferring. However, the problem is nontrivial technically and related research is absent. We tackle the challenge by building a bottom-up architecture, in which we model the distribution of every single loan's repayment rate, followed by modeling the distribution of the portfolio's overall repayment rate. To address the technical issues encountered, we adopt the approaches of simultaneous quantile regression, R-copula, and Gaussian one-factor copula model. To our best knowledge, this is the first study that successfully adopts a bottom-up system for analyzing credit portfolio risks of consumer loans. We conduct experiments on a vast amount of data and prove that our methodology can be applied successfully in real business tasks.

Date: 2021-10
New Economics Papers: this item is included in nep-ban, nep-cwa, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2110.15102 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.15102

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).