research-article

Risk and return prediction for pricing portfolios of non-performing consumer credit

Authors:

Qi WuAuthors Info & Claims

ICAIF '21: Proceedings of the Second ACM International Conference on AI in Finance

Article No.: 10, Pages 1 - 9

https://doi.org/10.1145/3490354.3494375

Published: 04 May 2022 Publication History

Abstract

We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a manner of risk transferring. However, the problem is nontrivial technically and related research is absent. We tackle the challenge by building a bottom-up architecture, in which we model the distribution of every single loan's repayment rate, followed by modeling the distribution of the portfolio's overall repayment rate. To address the technical issues encountered, we adopt the approaches of simultaneous quantile regression, R-copula, and Gaussian one-factor copula model. To our best knowledge, this is the first study that successfully adopts a bottom-up system for analyzing credit portfolio risks of consumer loans. We conduct experiments on a vast amount of data and prove that our methodology can be applied successfully in real business tasks.

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Cited By

Marouli AGiannini ECaloghirou Y(2023)A Non-Performing Loans (NPLs) Portfolio Pricing Model Based on Recovery Performance: The Case of GreeceRisks10.3390/risks1105009611:5(96)Online publication date: 18-May-2023
https://doi.org/10.3390/risks11050096
Zhang LWang L(2023)An Ensemble Learning-Enhanced Smart Prediction Model for Financial Credit RisksJournal of Circuits, Systems and Computers10.1142/S021812662450129933:07Online publication date: 23-Nov-2023
https://doi.org/10.1142/S0218126624501299
Zhang YChen YZhang K(2023)Investment Value Evaluation of Listed Companies Based on Machine Learning2023 IEEE International Conference on Systems, Man, and Cybernetics (SMC)10.1109/SMC53992.2023.10394121(507-513)Online publication date: 1-Oct-2023
https://doi.org/10.1109/SMC53992.2023.10394121
Show More Cited By

Risk and return prediction for pricing portfolios of non-performing consumer credit
1. Applied computing
  1. Law, social and behavioral sciences

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cover image ACM Conferences

ICAIF '21: Proceedings of the Second ACM International Conference on AI in Finance

November 2021

450 pages

ISBN:9781450391481

DOI:10.1145/3490354

General Chairs:
Anisoara Calinescu
University of Oxford, UK
,
Lukasz Szpruch
The Alan Turing Institute and University of Edinburgh, UK

Copyright © 2021 ACM.

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than the author(s) must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected].

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Publication History

Published: 04 May 2022

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Research Grants Council of Hong Kong
CityU Strategic Grant
Fundamental Research Funds for the Central Universities
Research Funds of Renmin University of China

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ICAIF'21

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ACM

ICAIF'21: 2nd ACM International Conference on AI in Finance

November 3 - 5, 2021

Virtual Event

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ICAIF '24

5th ACM International Conference on AI in Finance

November 14 - 17, 2024

Brooklyn , NY , USA

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Cited By

Marouli AGiannini ECaloghirou Y(2023)A Non-Performing Loans (NPLs) Portfolio Pricing Model Based on Recovery Performance: The Case of GreeceRisks10.3390/risks1105009611:5(96)Online publication date: 18-May-2023
https://doi.org/10.3390/risks11050096
Zhang LWang L(2023)An Ensemble Learning-Enhanced Smart Prediction Model for Financial Credit RisksJournal of Circuits, Systems and Computers10.1142/S021812662450129933:07Online publication date: 23-Nov-2023
https://doi.org/10.1142/S0218126624501299
Zhang YChen YZhang K(2023)Investment Value Evaluation of Listed Companies Based on Machine Learning2023 IEEE International Conference on Systems, Man, and Cybernetics (SMC)10.1109/SMC53992.2023.10394121(507-513)Online publication date: 1-Oct-2023
https://doi.org/10.1109/SMC53992.2023.10394121
Lomakin NKulachinskaya ATudevdagva UBescorovaynaya NMogharbel NLomakin I(2023)Correlation-Regression Model for Analysis of Overdue Debt and AI-System for Prediction the Finance Risk of Russian Commercial BanksDigital Transformation on Manufacturing, Infrastructure & Service10.1007/978-3-031-32719-3_52(693-706)Online publication date: 16-Jun-2023
https://doi.org/10.1007/978-3-031-32719-3_52

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