A class of discrete transformation survival models with application to default probability prediction
DOI10.1080/01621459.2012.682806zbMATH Open1395.62354OpenAlexW2101126169MaRDI QIDQ4648541FDOQ4648541
Authors: A. Adam Ding, Shaonan Tian, Yan Yu, Hui Guo 
Publication date: 9 November 2012
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2012.682806
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Reliability and life testing (62N05) Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12) Credit risk (91G40)
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Cited In (11)
- 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
- Most likely transformations
- Assessing the default risk by means of a discrete-time survival analysis approach
- Forecasting forward defaults: a simple hazard model with competing risks
- Corporate Probability of Default: A Single-Index Hazard Model Approach
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Identifying hidden patterns in credit risk survival data using generalised additive models
- Predicting bankruptcy using the discrete-time semiparametric hazard model
- Default forecast with auxiliary information using a logarithmic transformation model
- Default risk prediction and feature extraction using a penalized deep neural network
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