DATASETS FOR CREDIT RISK MODELING

最新推荐文章于 2022-09-14 23:25:43 发布

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最新推荐文章于 2022-09-14 23:25:43 发布

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本文链接：https://blog.csdn.net/sinat_23971513/article/details/107843226

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This blog discusses important aspects of credit risk modeling, including default probability, loss given default, and exposure at default. It also presents various datasets available for such projects, sourced from Kaggle, UCI Machine Learning Repository, and other resources, covering countries like Taiwan, Germany, Australia, Japan, and Poland." 112235627,10543162,理解区块链分叉：硬分叉与软分叉解析,"['区块链技术', '加密货币', '比特币', '共识机制', '去中心化']

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This tutorial outlines several free publicly available datasets which can be used for credit risk modeling. In banking world, credit risk is a critical business vertical which makes sure that bank has sufficient capital to protect depositors from credit, market and operational risks. During the process, its role is to work for bank in compliance to central bank regulations.

Important Credit Risk Modeling Projects

Probability of Default (PD) tells us the likelihood that a borrower will default on the debt (loan or credit card). In simple words, it returns the expected probability of customers fail to repay the loan.
Loss Given Default (LGD) is a proportion of the total exposure when borrower defaults. It is calculated by (1 - Recovery Rate). For example someone takes $200,000 loan from bank for purchase of flat. He/She paid some installments before he stopped paying installments further. When he defaults, loan has an outstanding balance of $100,000. Bank took possession of flat and was able to sell it for $90,000. Net loss to the bank is $10,000 which is 100,000-90,000, and the LGD is 10% i.e. $10,000/$100,000.
Exposure at Default (EAD) is the amount that the borrower has to pay the bank at the time of default. In the above example shown in LGD, outstanding balance of $100,000 is EAD