The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis

DOI10.1016/J.EJOR.2014.09.005zbMath1346.62107OpenAlexW2168583760MaRDI QIDQ320972

Mindy Leow, Jonathan N. Crook

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.pure.ed.ac.uk/ws/files/15399418/The_Stability_of_Survival_Model_Parameter_Estimates_for_Predicting_the_Probability_of_Default.pdf

zbMATH Keywords

forecastingstructural changerobustness and sensitivity analysismacroeconomic variablesprobability forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (9)

Default probability estimation via pair copula constructions ⋮ Predicting online invitation responses with a competing risk model using privacy-friendly social event data ⋮ Joint models for longitudinal and discrete survival data in credit scoring ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ Dynamic survival models with varying coefficients for credit risks. ⋮ A zero-inflated non default rate regression model for credit scoring data ⋮ Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients ⋮ Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Cites Work

• Not if but when will borrowers default
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Survival Analysis Methods for Personal Loan Data
• Regression with Social Data
• Credit scoring with macroeconomic variables using survival analysis

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