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达到前所未有的水平，使许多人处于一种易受个人情况变化和经济变化影响的境地（对房价可能崩溃的担忧只是其中一个例子）。显然，这对个人和有关金融机构也至关重要。在过去的30年里，用于模拟金融市场风险的工具种类有了巨大的进步，但个人金融服务部门需要的工具种类却大不相同。这一申请的目的是通过以下方式促进开发此类工具：（一）开展三个开发新型工具的核心项目;（二）开展由其他来源供资的其他并行项目;（三）组织一个讲习班方案，使不参与三个核心项目的其他人能够参加;（iv）举办参观计划，让其他研究人员参观核心地点及其他相关机构。三个核心项目分别为：1）现时零售业的风险评估及管理方法，均采用模型，根据观察所得的特点及过往的行为，预测可能出现的结果。但实际上，目的是利用该模式指导适当的行动选择（例如延长贷款偿还期;发出警告信等）。当然，行动意味着预测数据不再适用。我们的目标是根据客户的行为建立模型，以预测这种干预的效果。2）当前的个人贷款信用风险或投资组合模型是基于用于公司贷款的模型的变体。然而，这些模型不适合个人贷款组合（例如，现金流比det/资产比率更重要）。三种方法来建立适当的模型将进行探讨，修改的基础上，在企业部门使用的结构模型的假设，建立等价的简化形式的模型在企业部门使用，并使用竞争风险模型来预测可能的消费者违约。3）在经济状况的变化如何影响消费者信贷行为的文献是有限的。本项目将探讨这一问题的各个方面，包括将随时间变化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，并将经济因素纳入提前还款模型。

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.