Credit value on the presence of credit risk: a dynamic method to coordinate customer life time value and credit risk management decisions = Valor del cliente en presencia de riesgo de crédito

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  en Biblioteca Virtual del Banco de la República

Registro bibliográfico

• Título: Credit value on the presence of credit risk: a dynamic method to coordinate customer life time value and credit risk management decisions = Valor del cliente en presencia de riesgo de crédito
• Autor: Cardona Hernández, Johanna
• Publicación original: 2013
• Descripción física: PDF
• Notas de reproducción original: Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
• Notas:
  • Resumen: Customer life time value (CLV) and delinquency behavior are two of the most important firm key performance indicators at the banking industry, and at any other business scenario in which customers are granted credits or loans. Coordination in decisions regarding these two important variables is essential to achieve overall firm performance. We develop a dynamic method that allows simultaneous coordination between CLV and credit risk management decisions while taking into account their time varying behavior, the observed and unobserved customer heterogeneity, and the panel data structure inherent to the CLV-credit risk context. The method, which is a combination of the extended Kalman filter for exponential family of distributions and a fixed effects model has not been illustrated and/or implemented before. Therefore, we show its validity form a theoretical and computational point of view, and how its results can be interpreted to make the desired decision coordination task using synthetic data.
  • Resumen: Credit risk management; Customer life time value; Extended Kalman filter; Kalman Filter extendido; Riesgo de crédito
  • © Derechos reservados del autor
  • Colfuturo
• Forma/género: tesis
• Idioma: inglés
• Institución origen: Biblioteca Virtual del Banco de la República
• Encabezamiento de materia:
  • Ciencias sociales; Ciencias sociales / Economía