Simulation-based optimisation of the timing of loan recovery across different portfolios
作者：
Highlights：
• We present a procedure for optimising the loan recovery decision’s timing.
• This procedure is tested across various credit risk scenarios and portfolio compositions.
• Optima are found across all reasonable values of simulation parameters.
• The method reacts positively to systematic defaults and episodic delinquency.
• Our procedure can better inform a bank’s collection policy and risk management.
摘要
•We present a procedure for optimising the loan recovery decision’s timing.•This procedure is tested across various credit risk scenarios and portfolio compositions.•Optima are found across all reasonable values of simulation parameters.•The method reacts positively to systematic defaults and episodic delinquency.•Our procedure can better inform a bank’s collection policy and risk management.
论文关键词：Optimisation,Credit loss,Loan delinquency,Collections,Expert systems
论文评审过程：Received 23 September 2020, Revised 26 February 2021, Accepted 5 March 2021, Available online 17 March 2021, Version of Record 30 April 2021.
论文官网地址：https://doi.org/10.1016/j.eswa.2021.114878
