Identifying future defaulters: a hierarchical Bayesian method

DOI10.1016/j.ejor.2014.08.008zbMath1338.91145OpenAlexW1967593082MaRDI QIDQ299813

Fan Liu, Zhongsheng Hua, Andrew E. B. 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

zbMATH Keywords

Bayesian analysisrisk managementcredit scoringmixture cure model

Mathematics Subject Classification ID

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) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (8)

Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research ⋮ Default probability estimation via pair copula constructions ⋮ Two Bayesian approaches to rough sets ⋮ Promoting variable effect consistency in mixture cure model for credit scoring ⋮ 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 ⋮ A Bayesian approach to modeling mortgage default and prepayment ⋮ Sparse multi-criteria optimization classifier for credit risk evaluation

Uses Software

• SAS
• BayesDA
• PSPMCM

Cites Work

• Unnamed Item
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• Estimation in a Cox Proportional Hazards Cure Model
• A Nonparametric Mixture Model for Cure Rate Estimation
• Credit scoring with macroeconomic variables using survival analysis
• Neural network survival analysis for personal loan data

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