Generalized additive modeling of the credit risk of Korean personal bank loans

Kim, Young-Ah, Moffatt, Peter G. and Peters, Simon A. (2022) Generalized additive modeling of the credit risk of Korean personal bank loans. Journal of Credit Risk, 18 (3). pp. 77-103. ISSN 1744-6619

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We analyze consumer defaults in a sample of 64 000 customers taking personal loans from a Korean bank. Applying a generalized additive modeling (GAM) framework, we show a nonlinear impact of loan and borrower characteristics. In particular, the likelihood of default is high for both low-income borrowers and high-income borrow-ers. Our results are robust to a range of different tests, and they highlight the useful-ness of the GAM framework, especially the graphical presentation of nonlinearities.

Item Type: Article
Uncontrolled Keywords: generalised additive models; b-spline; credit scoring; loan defaults; signal detection theory; mis-classification costs,misclassification costs,generalized additive models,signal detection theory,credit scoring,loan defaults,basis splines (b-splines),economics and econometrics,finance ,/dk/atira/pure/subjectarea/asjc/2000/2002
Faculty \ School: Faculty of Social Sciences > School of Economics
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Depositing User: LivePure Connector
Date Deposited: 13 Oct 2021 02:16
Last Modified: 24 Oct 2022 07:31
DOI: 10.21314/JCR.2022.004

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