S-Space College of Engineering/Engineering Practice School (공과대학/대학원) Dept. of Industrial Engineering (산업공학과) Journal Papers (저널논문_산업공학과)
Samsung card lending model
- Huh, Jaeyung; Chang, Woojin; Lee, Junghoon; Lee, Jaeyong
- Issue Date
- ELSEVIER SCIENCE BV
- EUROPEAN JOURNAL OF OPERATIONAL RESEARCH; Vol.207 1; 492-498
- Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default probability and annual default ratio are computed using the past, present, and future cash flows of accounts. The provision is shown as the total sum of write-offs. The size of capital required is determined by default probability distribution. The price for new accounts is quoted based on cash flow simulations reflecting future business environments. SCLM has shown good performance in Samsung card consumer lending business since the Korean credit card crisis of 2003. (C) 2010 Elsevier B.V. All rights reserved.
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