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On the correlation between fraud and default risk


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Mählmann, Thomas:
On the correlation between fraud and default risk.
In: Zeitschrift für Betriebswirtschaft. 80 (2010) 12. - S. 1325-1352.
ISSN 0044-2372


Identity fraud is one of the fastest growing white-collar crimes today and a serious concern in our information-based economy. This paper studies one type of identity fraud: new account fraud, where an impostor opens lines of credit using a false identity, made-up or stolen. Relying on a unique data set of consumer bank accounts, that contains information on both, fraud and default losses, I analyze the correlation between fraud and default risk. I find that common socioeconomic/demographic account holder characteristics have opposite effects on estimated default and fraud probabilities. For example, women possess a lower fraud probability, but a higher default probability, compared tomen, and foreigners aremore likely to engage in account fraud but less likely to default than Germans. Also, the portfolio level analysis indicates that portfolio loss distributions are quite sensitive to ex ante portfolio characteristics like the share of foreigners or blue-collar workers. These findings have important implications for banks managing their consumer credit portfolios using limiting rules based on borrower characteristics, and for the adequacy of banks’ capital levels.

Weitere Angaben

Schlagwörter:Identity fraud ; Default risk ; Banks ; Demographics ; Socio-economic factors
Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Banken
Titel an der KU entstanden:Nein
Eingestellt am:28. Aug 2012 16:50
Letzte Änderung:04. Sep 2012 19:18
URL zu dieser Anzeige:http://edoc.ku-eichstaett.de/11827/