Chennai Mathematical Institute

Seminars




3.30 pm, Seminar Hall
Survival Analysis Models in Credit Risk (Talk followed by a short presentation about analytics in Ford and a Q & A session)

T.P.M. Fareed
Ford Motor Credit Company, Chennai.
02-04-14


Abstract

Consider a portfolio of loan accounts. Our objective is to answer the following:

1. Estimate the likelihood that a customer in the portfolio will default / pay off.

2. If default, when will it occur? Or, what is the likelihood that the customer will default in the t-th month after origination?

3. If pay off, when will it occur? Or, what is the likelihood that the customer will pay off in the t-th month after origination?

4. When an account will be liquidated? Or, what is the likelihood that an account will be closed in the t-th month after origination?

We discuss a unified approach and will provide a list of applications of the suggested models.





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