Risk Management in the Personal Financial Services Sector

个人金融服务部门涉及抵押贷款、银行贷款、信用卡、银行账户和相关产品。这是政府日益关注的一个领域，因为英国的个人债务已经达到了前所未有的水平，使许多人处于一种境地，使他们容易受到个人情况变化和经济变化的影响（对房价可能崩溃的担忧只是其中一个例子）。显然，它对个人和有关的金融机构也至关重要。在过去的30年里，用于金融市场风险建模的工具种类有了巨大的进步，但个人金融服务部门需要完全不同种类的工具。本申请的目的是通过以下方式刺激此类工具的开发：(i)开展开发新型工具的三个核心项目；（ii）由其他来源提供资金，同时进行其他项目；（iii）举办工作坊计划，让没有参与三项核心计划的人士也能参与；（iv）组织访客计划，让其他研究人员参观核心地点和其他相关机构。三个核心项目是：1)目前零售业风险评估和管理的方法使用模型，试图根据观察到的特征和以前的行为来预测可能的结果。然而，实际上，目的是使用该模型来指导适当的行动选择（例如延长贷款还款期；发出警告信等）。当然，行动意味着预测数据不再合适。我们的目标是建立基于顾客行为的模型，以预测此类干预措施的效果。2)目前个人贷款的信用风险或投资组合模型是基于公司贷款模型的变体。然而，这种模型不适用于个人贷款组合（例如，现金流量比负债/资产比率更重要）。本文将探讨建立适当模型的三种方法，基于修改企业部门中使用的结构模型的假设，建立企业部门中使用的简化形式模型的等级物，以及使用竞争风险模型来预测可能的消费者违约。3)关于经济状况变化如何影响消费者信贷行为的文献有限。本项目将探讨这方面的各个方面，包括将时变的经济因素纳入生存模型，随着经济条件的变化调整违约概率截止，以及将经济因素纳入早期还款模型。

The personal financial services sector is concerned with mortgages, bank loans, credit cards, bank accounts, and related products. It is an area of increasing concern to the Government, because personal debt in the UK has reached unprecedented levels, putting many people in a position which makes them vulnerable to changes in personal circumstances and changes in the economy (the concern about a possible collapse in house prices is just one example of this). It is also, obviously, of central importance to individuals, and to the financial bodies concerned. Over the last 30 years there have been dramatic advances in the sorts of tools used to model risk in the financial markets, but quite different kinds of tools are needed in the personal financial services sector. The aim of this application is to stimulate the development of such tools by: (i) carrying out three core projects which develop novel kinds of tools; (ii) carrying out additional concurrent projects, funded from other sources; (iii) organising a workshop programme which will enable others, not involved in the three core projects, to take part; (iv) organising a visitor programme, allowing other researchers to visit the core sites and other relevant institutionsThe three core projects are:1) Current approaches to risk assessment and management in the retail sector use models which seek to predict likely outcome based on observed characteristics and previous behaviour. In fact, however, the aim is to use the model to guide appropriate choice of action (e.g. extend a loan repayment period; send a warning letter, etc.). Actions, of course, mean that the predictive data are no longer appropriate. We aim to build models, based on how customers behave, to predict the effect of such interventions.2) Current models for credit risk or portfolios of personal loans are based on variants of the models used for corporate loans. However, such models are inappropriate for personal loan portfolios (where, for example, cash flow is more important than det/asset ratio). Three approaches to building appropriate models will be explored, based on modifying the assumptions of structural models used in the corporate sector, building equivalents of the reduced form models used in the corporate sector, and using competing risk models to predict likely consumer default.3) The literature on how changes in the state of the economy influence consumer credit behaviour is limited. This project will explore various aspects of this, including incorporating time-varying economic factors into survival models, adjusting the default probability cutoff as economic conditions change, and including economic factors in early repayment models.