Lyn C. Thomas
Lyn C. Thomas (1946-2016) was Professor of Management Science at the University of Southampton, having previously held academic posts at the Universities of Manchester and Edinburgh in the UK and the Naval Postgraduate School in the US. His interests were in applying Operational Research and statistical ideas and techniques in the financial area, and for three decades he concentrated on the area of credit scoring. He founded the Credit Research Centre at the University of Edinburgh and was one of the principal investigators for the Quantitative Financial Risk Management Centre based at Southampton and Edinburgh Universities and Imperial College London. He co-authored three books in the area, including Credit Scoring and Its Applications and Readings in Credit Scoring, and authored Consumer Credit Models: Pricing, Profit and Portfolios. He was the plenary speaker at risk conferences on five continents and acted as a consultant to a number of international banks and consumer lending organisations. He was a Fellow of the Royal Society of Edinburgh, a President of the Operational Research Society and the author of over 200 articles and books. These led to him being awarded the Beale Medal in 2008 by the Operational Research Society for his sustained contribution to credit scoring research and practice.
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This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.