Monetary loss surveillance for credit models

DOI10.1080/07474946.2016.1206379MaRDI QIDQ2830722zbMATH OpenOpenAlexFDO

Authors Ivair Silva, Vincius B. M. Barros

Publication date 28 October 2016

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2016.1206379

zbMATH Keywords

hypothesis testingsequential analysisrisk management

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Modelling consumer credit risk
• Quality control for structural credit risk models
• Modelling consumer credit risk via survival analysis
• Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
• Statistical challenges in credit card issuing

Cites work

• scientific article; zbMATH DE number 1348603 (Why is no real title available?)
• A maximized sequential probability ratio test for drug and vaccine safety surveillance
• A sequential clinical trial for testing p₁=p₂

Cited in

(1)

• Statistical fraud detection: a review

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