A new mixture model for the estimation of credit card exposure at default
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Publication:320980
DOI10.1016/J.EJOR.2015.10.001zbMATH Open1346.62108OpenAlexW1903906526MaRDI QIDQ320980FDOQ320980
Authors: Mindy Leow, Jonathan 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/22189194/new_mixture_pdf.pdf
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Cites Work
Cited In (6)
- A new mixture cure model under competing risks to score online consumer loans
- Exposure at default models with and without the credit conversion factor
- Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
- Modelling credit card exposure at default using vine copula quantile regression
- A transformer-based model for default prediction in mid-cap corporate markets
- Sharp asymptotics for large portfolio losses under extreme risks
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