Assessing the default risk by means of a discrete-time survival analysis approach

DOI10.1002/ASMB.705zbMath1199.91251OpenAlexW4246945034MaRDI QIDQ3552630

Daniele de Leonardis, Roberto Rocci

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.705

zbMATH Keywords

unobserved heterogeneitybaseline hazard functionCox's proportional hazard model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (1)

Discrete-time survival trees and forests with time-varying covariates

Uses Software

• Stata
• SAS
• SAS/STAT
• pgmhaz

Cites Work

• Unnamed Item
• Survival Analysis Methods for Personal Loan Data
• Regression Analysis of Grouped Survival Data with Application to Breast Cancer Data
• A Discrete Survival Model with Random Effects: An Application to Time to Pregnancy
• Bankruptcy Prediction with Industry Effects

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