Identifying future defaulters: a hierarchical Bayesian method
DOI10.1016/J.EJOR.2014.08.008zbMATH Open1338.91145OpenAlexW1967593082MaRDI QIDQ299813FDOQ299813
Authors: Fan Liu, Zhong-Sheng Hua, Andrew Lim 
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.2014.08.008
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Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Credit risk (91G40) Financial applications of other theories (91G80)
Cites Work
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- Recent developments in consumer credit risk assessment
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- Not if but when will borrowers default
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Cited In (12)
- Mixture cure models in credit scoring: if and when borrowers default
- Analysis of defaulters' behaviour using the Poisson-mixture approach
- A new mixture cure model under competing risks to score online consumer loans
- Default probability estimation via pair copula constructions
- Two Bayesian approaches to rough sets
- Promoting variable effect consistency in mixture cure model for credit scoring
- A Bayesian approach to modeling mortgage default and prepayment
- Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures
- A prediction-driven mixture cure model and its application in credit scoring
- Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research
- Credit scoring models using hierarchical Bayes model: an application to inter-bank consortium mortgage data
- Sparse multi-criteria optimization classifier for credit risk evaluation
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