Mixture cure models in credit scoring: if and when borrowers default
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Publication:439468
DOI10.1016/j.ejor.2011.10.007zbMath1244.91099OpenAlexW2068911395MaRDI QIDQ439468
Lyn C. Thomas, Edward N. C. Tong, Christophe Mues
Publication date: 16 August 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.10.007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Reliability and life testing (62N05) Credit risk (91G40)
Related Items (24)
Cure events in default prediction ⋮ Identifying future defaulters: a hierarchical Bayesian method ⋮ An Akaike information criterion for multiple event mixture cure models ⋮ Benchmarking state-of-the-art classification algorithms for credit scoring: an update of research ⋮ Accuracy of mortgage portfolio risk forecasts during financial crises ⋮ Exposure at default models with and without the credit conversion factor ⋮ Promoting variable effect consistency in mixture cure model for credit scoring ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ A quadratic upper bound algorithm for regression analysis of credit risk under the proportional hazards model with case-cohort data ⋮ A support vector machine based semiparametric mixture cure model ⋮ Unified multivariate survival model with a surviving fraction: an application to a Brazilian customer churn data ⋮ 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 zero-inflated non default rate regression model for credit scoring data ⋮ Behaviour-based short-term invoice probability of default evaluation ⋮ Predicting loss severities for residential mortgage loans: a three-step selection approach ⋮ A Bayesian approach to modeling mortgage default and prepayment ⋮ Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients ⋮ A new mixture cure model under competing risks to score online consumer loans ⋮ Establishing decision tree-based short-term default credit risk assessment models ⋮ Mixture additive hazards cure model with latent variables: application to corporate default data ⋮ Design of adaptive Elman networks for credit risk assessment ⋮ Mixture Cure Models in Prediction of Time to Default: Comparison with Logit and Cox Models ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods
Uses Software
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