A Class of Discrete Transformation Survival Models With Application to Default Probability Prediction

DOI10.1080/01621459.2012.682806zbMath1395.62354OpenAlexW2101126169MaRDI QIDQ4648541

A. Adam Ding, Yan Yu, Shaonan Tian, Hui Guo

Publication date: 9 November 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.682806

zbMATH Keywords

survival analysisproportional hazardslogistic regressioncredit riskcorporate bankruptcy prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12) Reliability and life testing (62N05) Credit risk (91G40)

Related Items (5)

Corporate Probability of Default: A Single-Index Hazard Model Approach ⋮ Disentangling and assessing uncertainties in multiperiod corporate default risk predictions ⋮ Default risk prediction and feature extraction using a penalized deep neural network ⋮ Most Likely Transformations ⋮ Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities

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