caa a22 4500 463187393 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20071001xx s 000 0 eng 10.1007/s11156-007-0032-0 doi (NATIONALLICENCE)springer-10.1007/s11156-007-0032-0 Modeling exposure to losses on automobile leases [Elektronische Daten] [L. Smith, Baiqiang Jin] We present an integrated statistical model for assessing risk and projecting financial losses on automobile leases. The model employs nonstationary Markovian state transitions for active leases and hierarchical logistic and regression equations for different outcomes on termination. The model reveals that lower residual risks may partially offset higher credit risk for customers whose credit scores predict higher risk of default. It also reveals a risk profile that differs through time from other secured credits such as mortgages. A three-year follow-up of forecasts versus outcomes for 39,500 leasing contracts shows that the model predicted rates of repossession better than standard roll-rate models with stationary transition probabilities. It displayed similar accuracy in predicting unscheduled terminations and insurance settlements. Springer Science+Business Media, LLC, 2007 Credit risk nationallicence Modeling automobile leases nationallicence Risk management nationallicence Nonstationary Markovian models nationallicence Smith L. Center for Business and Industrial Studies, College of Business Administration, University of Missouri-St. Louis, One University Blvd, 63121, St. Louis, MO, USA aut Jin Baiqiang Swiss Reinsurance Company, 540 W. Northwest Highway, 60010, Barrington, IL, USA aut Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/3(2007-10-01), 241-266 0924-865X 29:3<241 2007 29 11156 https://doi.org/10.1007/s11156-007-0032-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-007-0032-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Smith L. Center for Business and Industrial Studies, College of Business Administration, University of Missouri-St. Louis, One University Blvd, 63121, St. Louis, MO, USA aut NATIONALLICENCE 700 1- Jin Baiqiang Swiss Reinsurance Company, 540 W. Northwest Highway, 60010, Barrington, IL, USA aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/3(2007-10-01), 241-266 0924-865X 29:3<241 2007 29 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer