Credit value on the presence of credit risk: a dynamic method to coordinate customer life time value and credit risk management decisions = Valor del cliente en presencia de riesgo de crédito

Manifestación

Autores
Identificador
865371
Fecha de publicación
2013
Forma obra
Tesis
Lugar de producción
2013
Idioma
inglés
Nota de edición
Digitalización realizada por la Biblioteca Virtual del Banco de la República (Colombia)
Materias
  • Ciencias sociales; Ciencias sociales / Economía
Notas
  • Colfuturo
  • © Derechos reservados del autor
  • Customer life time value (CLV) and delinquency behavior are two of the most important firm key performance indicators at the banking industry, and at any other business scenario in which customers are granted credits or loans. Coordination in decisions regarding these two important variables is essential to achieve overall firm performance. We develop a dynamic method that allows simultaneous coordination between CLV and credit risk management decisions while taking into account their time varying behavior, the observed and unobserved customer heterogeneity, and the panel data structure inherent to the CLV-credit risk context. The method, which is a combination of the extended Kalman filter for exponential family of distributions and a fixed effects model has not been illustrated and/or implemented before. Therefore, we show its validity form a theoretical and computational point of view, and how its results can be interpreted to make the desired decision coordination task using synthetic data.
  • Credit risk management; Customer life time value; Extended Kalman filter; Kalman Filter extendido; Riesgo de crédito
Enlace permanente
https://www.cervantesvirtual.com/obra/credit-value-on-the-presence-of-credit-risk-a-dynamic-method-to-coordinate-customer-life-time-value-and-credit-risk-management-decisions-valor-del-cliente-en-presencia-de-riesgo-865371
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