Cure events in default prediction
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Publication:296900
DOI10.1016/J.EJOR.2014.04.046zbMATH Open1338.91147OpenAlexW2016144167MaRDI QIDQ296900FDOQ296900
Authors: Marcus Wolter, Daniel Rösch 
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.04.046
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Applications of statistics to biology and medical sciences; meta analysis (62P10) Credit risk (91G40) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- Sample Selection Bias as a Specification Error
- Estimation in a Cox Proportional Hazards Cure Model
- A mixture model combining logistic regression with proportional hazards regression
- Mixture cure models for multivariate survival data
- A Nonparametric Mixture Model for Cure Rate Estimation
- Title not available (Why is that?)
- On Cox processes and credit risky securities
- Term Structures of Credit Spreads with Incomplete Accounting Information
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- Recent developments in consumer credit risk assessment
- Mixture cure models in credit scoring: if and when borrowers default
- Mixed Effects Models with Censored Data with Application to HIV RNA Levels
- An Introduction to Credit Risk Modeling
- Credit scoring with macroeconomic variables using survival analysis
- Multilevel mixture cure models with random effects
- Proportional hazards models with random effects to examine centre effects in multicentre cancer clinical trials
- Credit risk modeling based on survival analysis with immunes
- Accelerated hazards mixture cure model
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
Cited In (4)
- Behaviour-based short-term invoice probability of default evaluation
- Predicting loss severities for residential mortgage loans: a three-step selection approach
- A new mixture cure model under competing risks to score online consumer loans
- Mixture additive hazards cure model with latent variables: application to corporate default data
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