A class of discrete transformation survival models with application to default probability prediction
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Publication:4648541
DOI10.1080/01621459.2012.682806zbMATH Open1395.62354OpenAlexW2101126169MaRDI QIDQ4648541FDOQ4648541
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Cites work
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Cited in
(11)- Identifying hidden patterns in credit risk survival data using generalised additive models
- Default forecast with auxiliary information using a logarithmic transformation model
- Forecasting forward defaults: a simple hazard model with competing risks
- Assessing the default risk by means of a discrete-time survival analysis approach
- Default risk prediction and feature extraction using a penalized deep neural network
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Predicting bankruptcy using the discrete-time semiparametric hazard model
- Most likely transformations
- Forecasting forward defaults with the discrete-time hazard model
- Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
- Corporate Probability of Default: A Single-Index Hazard Model Approach
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