This paper investigates how to estimate the likelihood of a customer accepting a loan offer as a function of the offer parameters and how to choose the optimal set of parameters for the offer to the applicant in real time. There is no publicly available data set on whether customers accept the...

How to combine varying credit information collected from various sources at difference periods for the purpose of credit assessment is an important issue for some financial companies. In this article, the screening procedures using individual cut and linear cut approaches are proposed to solve...

This paper addresses the risk cutoff policies of a retail bank whose objectives are to maximize return on equity for shareholders and live within regulatory capital requirements, such as those of the Basel Capital Accord, to meet unexpected default losses. It investigates the changes that have...

In this article we describe the construction and implementation of a pricing model for a leading UK mortgage lender. The crisis in mortgage lending has highlighted the importance of incorporating default risk into such pricing decisions b y mortgage lenders. In this case the underlying default...

New start-up companies, which are considered to be a vital ingredient in a successful economy, have a different objective than established companies: They want to maximise their chance of long-term survival. We examine the implications for their operating decisions of this different criterion by...

Equipment in the process industry is often subject to decay and requires maintenance, repair and eventual replacement. The challenge of competition and the accompanying regulatory regime requires that actions be integrated and cost effective. Ansell and colleagues in 2001 explored an approach to...

Contents * A: Historical development of credit and behavioural scoring * R W Johnson: Legal, social and economic issues in implementing scoring in the US * R Eisenbeis: Problems in applying discriminant analysis in credit scoring models * M A Hopper and E M Lewis: Behaviour scoring and adaptive...

The ALARP principle is applied in many areas to regulate the tolerable level of risk. Usually the principle is operationalized by assigning a value per fatality. A cost-benefit analysis is used to trade the expected value of lives saved with the costs of technical measures required to reduce...

It is well known that, given observable data for a competing risk problem, there is always an independent model consistent with the data. It has been pointed out, however, that this independent model does not necessarily have to be one with proper marginals. One purpose of this paper is to...

Within reliability theory, identifiability problems arise through competing risks. If we have a series system of several components, and if that system is replaced or repaired to as good as new on failure, then the different component failures represent competing risks for the system. It is well...