2 papers
q-fin.RM2013
The Meaning of Probability of Default for Asset-backed Loans
David Chisholm, Graham Andersen
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a…
q-fin.RM2011
A Mathematical Method for Deriving the Relative Effect of Serviceability on Default Risk
Graham Andersen, David Chisholm
The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the…