The introduction of the Basel II Accord has had a huge impact on financial institutions, allowing them to build credit risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at default). Until recently, credit risk research has focused...

The value of the customer has been widely recognized in terms of financial planning and efficient resource allocation including the financial service industry. Previous studies have shown that directly observable information can be used in order to make reasonable predictions of customer...