Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models

DOI10.1080/07350015.2016.1260471MaRDI QIDQ6634837zbMATH OpenFDO

Authors Lore Dirick, Tony Bellotti, Gerda Claeskens, Bart Baesens

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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• A mixture model combining logistic regression with proportional hazards regression
• An Akaike information criterion for multiple event mixture cure models
• Competing risks and time-dependent covariates
• Credit Risk Management
• Credit scoring with macroeconomic variables using survival analysis
• Default risk analysis via a discrete-time cure rate model
• Estimation in a Cox Proportional Hazards Cure Model
• Fitting semiparametric cure models
• Mixture cure models in credit scoring: if and when borrowers default
• Model Selection and Model Averaging
• Not if but when will borrowers default
• On the harm that ignoring pretesting can cause
• Survival Analysis Methods for Personal Loan Data

Cited in

(1)

• A two-step estimation procedure for semiparametric mixture cure models

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