Browse

Samsung card lending model

Cited 0 time in Web of Science Cited 1 time in Scopus
Authors
Huh, Jaeyung; Chang, Woojin; Lee, Junghoon; Lee, Jaeyong
Issue Date
2010-11-16
Publisher
ELSEVIER SCIENCE BV
Citation
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH; Vol.207 1; 492-498
Keywords
Consumer lending businessDefault probabilityProvisionCredit riskCapital required
Abstract
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.
ISSN
0377-2217
Language
English
URI
http://hdl.handle.net/10371/74986
DOI
https://doi.org/10.1016/j.ejor.2010.04.009
Files in This Item:
There are no files associated with this item.
Appears in Collections:
College of Engineering/Engineering Practice School (공과대학/대학원)Dept. of Industrial Engineering (산업공학과)Journal Papers (저널논문_산업공학과)
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse