Dynamic Valuation of Delinquent Credit-Card Accounts
提出一个逾期信用卡账户随机还款行为的动态模型，构建动态回收评分（DCS）来估计特定时间收回部分债务的概率，并利用多种数据源和两种识别方法，实证显示比银行内部评分方法有显著改进。
This paper introduces a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts. Based on this model, we construct a dynamic collectability score (DCS) that estimates the account-specific probability of collecting a given portion of the outstanding debt over any given time horizon. The model integrates a variety of information sources, including historical repayment data, account-specific, and time-varying macroeconomic covariates, as well as scheduled account-treatment actions. Two model-identification methods are examined, based on maximum-likelihood estimation and the generalized method of moments. The latter allows for an operational-statistics approach, combining model estimation and performance optimization by tailoring the estimation error to business-relevant loss functions. The DCS framework is applied to a large set of account-level repayment data. The improvements in classification and prediction performance compared to standard bank-internal scoring methods are found to be significant. This paper was accepted by Noah Gans, stochastic models and simulation.