Dynamic Valuation of Delinquent Credit-Card Accounts

Published Online:https://doi.org/10.1287/mnsc.2015.2203

References

  • Altman EI, Resti A, Simoni A, eds. (2005) Recovery Risk: The Next Challenge in Credit Risk Management (Risk Books, London, UK).Google Scholar
  • Ausubel L (1999) Adverse selection in the credit card market. Working paper, University of Maryland, College Park.Google Scholar
  • Azizpour S, Giesecke K, Kim B (2011) Premia for correlated default risk. J. Econom. Dynam. Control 35(8):1340–1357.CrossrefGoogle Scholar
  • Banasik J, Crook J, Thomas L (1999) Not if but when will borrowers default. J. Oper. Res. Soc. 50(12):1185–1190.CrossrefGoogle Scholar
  • Bartlett MS (1963) The spectral analysis of point processes. J. Roy. Statist. Soc., Ser. B (Methodological) 25(2):264–296.Google Scholar
  • Basel Committee on Banking Supervision (2004) International Convergence of Capital Measurement and Capital Standards: A Revised Framework (Bank for International Settlements, Basel, Switzerland).Google Scholar
  • Bellotti T, Crook J (2009) Credit scoring with macroeconomic variables using survival analysis. J. Oper. Res. Soc. 60(12):1699–1707.CrossrefGoogle Scholar
  • Berndt E, Hall B, Hall R, Hausman J (1974) Estimation and inference in nonlinear structural models. Ann. Econom. Soc. Measurement 3(4):653–665.Google Scholar
  • Besbes O, Phillips R, Zeevi A (2010) Testing the validity of a demand model: An operations perspective. Manufacturing Service Oper. Management 12(1):162–183.LinkGoogle Scholar
  • Bierman H, Hausman WH (1970) The credit granting decision. Management Sci. 16(8):B-519–B-532.LinkGoogle Scholar
  • Blanchflower DG, Evans DS (2004) The role of credit cards in providing financing for small businesses. Payment Card Econom. Rev. 2:77–95.Google Scholar
  • Bollerslev T, Chou RY, Kroner KF (1992) ARCH modeling in finance: A review of the theory and empirical evidence. J. Econometrics 52(1):5–59.CrossrefGoogle Scholar
  • Bollerslev T, Engle RF, Nelson DB (1994) ARCH models. Engle RF, McFadden DL, eds. Handbook of Econometrics, Vol. 4 (Elsevier, Amsterdam), 2959–3038.Google Scholar
  • Boyes W, Hoffman D, Low S (1989) An econometric analysis of the bank credit scoring problem. J. Econometrics 40(1):3–14.CrossrefGoogle Scholar
  • Brémaud P (1981) Point Processes and Queues, Martingale Dynamics (Springer, New York).CrossrefGoogle Scholar
  • Butcher JC (2008) Numerical Methods for Ordinary Differential Equations, 2nd ed. (John Wiley & Sons, New York).CrossrefGoogle Scholar
  • Chatterjee S, Corbae D, Nakajima M, Ríos-Rull J-V (2007) A quantitative theory of unsecured consumer credit with risk of default. Econometrica 75(6):1525–1589.CrossrefGoogle Scholar
  • Chatterjee S, Corbae D, Ríos-Rull J-V (2008) A finite-life private-information theory of unsecured consumer debt. J. Econom. Theory 142(1):149–177.CrossrefGoogle Scholar
  • Chehrazi N, Weber TA (2010) Monotone approximation of decision problems. Oper. Res. 58(4):1158–1177.LinkGoogle Scholar
  • Chehrazi N, Glynn PW, Weber TA (2014) Dynamic credit-collections optimization. Working paper, McCombs School of Business, Austin, TX.Google Scholar
  • Cho JS, White H (2011) Generalized runs tests for the IID hypothesis. J. Econometrics 161(2):326–344.CrossrefGoogle Scholar
  • Cole H, Dow J, English W (1995) Default, settlement, and signalling: Lending resumption in a reputation model of sovereign debt. Internat. Econom. Rev. 36(2):365–385.CrossrefGoogle Scholar
  • Collin-Dufresne P, Goldstein R, Hugonnier J (2004) A general formula for the valuation of defaultable securities. Econometrica 72(5):1377–1407.CrossrefGoogle Scholar
  • Cox DR, Isham V (1980) Point Processes (Chapman and Hall, Cambridge, UK).Google Scholar
  • Crook JN, Edelman DB, Thomas LC (2007) Recent developments in consumer credit risk assessment. Eur. J. Oper. Res. 183(3):1447–1465.CrossrefGoogle Scholar
  • De Almeida Filho AT, Mues C, Thomas LC (2010) Optimizing the collections process in consumer credit. Productions Oper. Management 19(6):698–708.CrossrefGoogle Scholar
  • Duffie D, Kan R (1996) A yield-factor model of interest rates. Math. Finance 6(4):379–406.CrossrefGoogle Scholar
  • Duffie D, Pan J, Singleton KJ (2000) Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6):1343–1376.CrossrefGoogle Scholar
  • Duffie D, Saita L, Wang K (2007) Multi-period corporate default prediction with stochastic covariates. J. Financial Econom. 83(3):635–665.CrossrefGoogle Scholar
  • Duygan-Bump B, Grant C (2009) Household debt repayment behaviour: What role do institutions play? Econom. Policy 24(57):109–140.Google Scholar
  • Efrat R (2002) Global trends in personal bankruptcy. Amer. Bankruptcy Law J. 76(1):81–109.Google Scholar
  • Errais E, Giesecke K, Goldberg LR (2010) Affine point processes and portfolio credit risk. SIAM J. Financial Math. 1(1):642–665.CrossrefGoogle Scholar
  • Gibson R, Sundaresan S (2001) A model of sovereign borrowing and sovereign yield spreads. Working paper, Columbia University, New York.Google Scholar
  • Giesecke K, Kim B (2011) Systemic risk: What defaults are telling us. Management Sci. 57(8):1387–1405.LinkGoogle Scholar
  • Giesecke K, Schwenkler G (2012) Filtered likelihood for point processes. Working paper, Stanford University, Stanford, CA.Google Scholar
  • Glasserman P, Kim K-K (2010) Moment explosions and stationary distributions in affine diffusion models. Math. Finance 20(1):1–33.CrossrefGoogle Scholar
  • Gross D, Souleles N (2002) An empirical analysis of personal bankruptcy and delinquency. Rev. Financial Stud. 15(1):319–347.CrossrefGoogle Scholar
  • Hand D, Henley W (1997) Statistical classification methods in consumer credit scoring: A review. J. Roy. Statist. Soc. Ser. A (Statist. Soc.) 160(3):523–541.CrossrefGoogle Scholar
  • Hansen L (1982) Large sample properties of generalized method of moments estimators. Econometrica 50(4):1029–1054.CrossrefGoogle Scholar
  • Hastie T, Tibshirani R, Friedman J (2009) The Elements of Statistical Learning, 2nd ed. (Springer, New York).CrossrefGoogle Scholar
  • Hawkes AG (1971) Spectra of some self-exciting and mutually exciting point processes. Biometrica 58(1):83–90.CrossrefGoogle Scholar
  • Holden RT (1986) The contagiousness of aircraft hijacking. Amer. J. Soc. 91(4):874–904.CrossrefGoogle Scholar
  • Jarrow R, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56(5):1765–1799.CrossrefGoogle Scholar
  • Jódar L, Navarro E (1991) A closed-form solution for nonsymmetric riccatti differential equations with invertible quadratic coefficient. Appl. Math. Lett. 4(2):17–20.CrossrefGoogle Scholar
  • Kwieciński A, Szekli R (1991) Compensator conditions for stochastic ordering of point processes. J. Appl. Probab. 28(4):751–761.CrossrefGoogle Scholar
  • Lehmann E, Romano J (2005) Testing Statistical Hypotheses, 3rd ed. (Springer, New York).Google Scholar
  • Lopes P (2008) Credit card debt and default over the life cycle. J. Money, Credit and Banking 40(4):769–790.CrossrefGoogle Scholar
  • Merrick JJ (2001) Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina. J. Banking Finance 25(10):1921–1939.CrossrefGoogle Scholar
  • Mitchner M, Peterson RP (1957) An operations-research study of the collection of defaulted loans. Oper. Res. 5(4):522–545.LinkGoogle Scholar
  • Mohler GO, Short MB, Brantingham PJ, Schoenberg FP, Tita GE (2011) Self-exciting point process modeling of crime. J. Amer. Statist. Assoc. 106(493):100–108.CrossrefGoogle Scholar
  • Nelson DB (1990) ARCH models as diffusion approximations. J. Econometrics 45(1–2):7–38.CrossrefGoogle Scholar
  • Ogata Y (1978) The asymptotic behaviour of maximum likelihood estimators for stationary point processes. Ann. Inst. Statist. Math. 30(1):243–261.CrossrefGoogle Scholar
  • Ogata Y (1998) Space-time point-process model for earthquake occurrences. Ann. Inst. Statist. Math. 50(2):379–402.CrossrefGoogle Scholar
  • Papangelou F (1972) Integrability of expected increments of point processes and a related random change of scale. Trans. Amer. Math. Soc. 165:483–506.CrossrefGoogle Scholar
  • Protter PE (2005) Stochastic Integration and Differential Equations, 2nd ed. (Springer, New York).CrossrefGoogle Scholar
  • Rosenberg E, Gleit A (1994) Quantitative methods in credit management: A survey. Oper. Res. 42(4):589–613.LinkGoogle Scholar
  • Rubin I (1972) Regular point processes and their detection. IEEE Trans. Inform. Theory IT-18(5):547–557.CrossrefGoogle Scholar
  • Schuermann T (2005) What do we know about loss given default? Altman EI, Resti A, Simoni A, eds. (2005) Recovery Risk: The Next Challenge in Credit Risk Management (Risk Books, London, UK), 3–24.Google Scholar
  • Singleton KJ (2001) Estimation of affine asset pricing models using the empirical characteristic function. J. Econometrics 102(1):111–141.CrossrefGoogle Scholar
  • Sufi A (2009) Bank lines of credit in corporate finance: An empirical analysis. Rev. Financial Stud. 22(3):1057–1088.CrossrefGoogle Scholar
  • Thomas LC, Oliver RW, Hand DJ (2005) A survey of the issues in consumer credit modeling research. J. Oper. Res. Soc. 56(9):1006–1015.CrossrefGoogle Scholar
  • Tirole J (1988) The Theory of Industrial Organization (MIT Press, Cambridge, MA).Google Scholar
  • West D (2000) Neural network credit scoring models. Comput. Oper. Res. 27:11–12–1131–1152.CrossrefGoogle Scholar
  • Xu L, Duan JA, Whinston AB (2014) Path to purchase: A mutually exciting point process model for online advertising and conversion. Management Sci. 60(6):1392–1412.LinkGoogle Scholar
  • Zhang X, Glynn PW (2012) On the stochastic stability of affine jump-diffusions. Working paper, Stanford University, Stanford, CA.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.