Establishing decision tree-based short-term default credit risk assessment models

DOI10.1080/03610926.2014.968730MaRDI QIDQ2834635zbMATH OpenOpenAlexFDO

Authors Yung-Chia Chang, Kuei-Hu Chang, Heng-Hsuan Chu, Lee-Ing Tong

Publication date 23 November 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.968730

zbMATH Keywords

decision treebootstrap aggregatingshort-term defaultcredit risk assessment models

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Management decision making, including multiple objectives (90B50) Credit risk (91G40) Markov and semi-Markov decision processes (90C40)

Recommendations

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Cites work

• Mixture cure models in credit scoring: if and when borrowers default
• Neural network survival analysis for personal loan data
• Not if but when will borrowers default

Cited in

(5)

• Behaviour-based short-term invoice probability of default evaluation
• Cost-Sensitive Extensions for Global Model Trees: Application in Loan Charge-Off Forecasting
• Modelling credit risk for personal loans: Cox proportional hazards model approach
• A prediction-driven mixture cure model and its application in credit scoring
• Not if but when will borrowers default

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