汽车零售贷款组合中自愿终止风险的2因素模型

Simone Caenazzo, Ksenia Ponomareva
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引用次数: 0

摘要

根据1974年英国消费者法案,一旦满足某些条件,分期购买和有条件销售合同的债务人可以执行自愿终止(VT)。在这种情况下,贷款人可以收回相关资产,但在资产清算时可能会蒙受损失。这从风险建模的角度提出了挑战,因为这些金融产品表现出信用(违约)风险和虚拟货币风险,这两个事件是相互排斥的。在本文中,我们提出了一个建模框架来考虑零售投资组合的信用/违约和VT风险,设计为贷款级终止事件的2因素蒙特卡罗模拟。本文的结论是,在汽车贷款组合的背景下,这种框架的实际实施的数值和回测结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A 2-Factor model for inclusion of Voluntary Termination Risk in Automotive Retail Loan Portfolios
Under the UK Consumer Act 1974, obligors of Hire Purchase and Conditional Sale contracts are allowed to perform a Voluntary Termination (VT) once certain conditions are met. Upon such an event, lenders recover the underlying assets but are potentially liable to losses upon liquidation of the assets. This poses a challenge from a risk modelling perspective, as these financial products exhibit Credit (default) risk as well as VT risk, and these two events are mutually exclusive. In this paper we propose a modelling framework to account for Credit/Default and VT risk for Retail portfolios, designed as a 2-factor Monte Carlo simulation of loan-level termination events. The paper concludes with numerical and backtesting results from a real-life implementation of such framework in the context of an automotive loan portfolio.
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