A logistic regression model for consumer default risk

DOI10.1080/02664763.2020.1759030MaRDI QIDQ5861453zbMATH OpenOpenAlexFDO

Authors Eliana Costa e Silva, Isabel Cristina Lopes, Aldina Correia, Susana Faria

Publication date 1 March 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2020.1759030

zbMATH Keywords

applications to actuarial sciences and financial mathematicscredit scoringdefault riskgeneralized linear models logistic regression

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• An Introduction to Categorical Data Analysis
• Default probabilities in a corporate bank portfolio: a logistic model approach.
• Identification of multiple high leverage points in logistic regression
• Identification of multiple influential observations in logistic regression
• Recent developments in consumer credit risk assessment

Cited in

(16)

• Default risk prediction and feature extraction using a penalized deep neural network
• Random effects logistic regression model for default prediction of technology credit guarantee fund
• Analysis of individual credit scoring based on logistic regression with the adaptive Lasso
• Not if but when will borrowers default
• An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market
• Logistic regression and multicriteria decision making in credit scoring
• Scoring bank loans that may go wrong: a case study
• Advanced modeling default risk for innovative SMEs: based on the Lasso method
• Modelling credit risk for personal loans: Cox proportional hazards model approach
• Hurdle models of loan default
• scientific article; zbMATH DE number 2221033 (Why is no real title available?)
• Editorial to special issue V WCDANM 2018
• MODELING THE DEFAULT RISK OF CARD LOANS CONSIDERING INDIVIDUAL BEHAVIOR CHARACTERISTICS BASED ON BANK ACCOUNT DEPOSIT AND WITHDRAWAL DATA
• Default probabilities in a corporate bank portfolio: a logistic model approach.
• Propensity score matching: a tool for consumer risk modeling and portfolio underwriting
• The joint model of default and prepayment for a mortgage loan and its application in mortgage insurance

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