Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
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Cites work
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- Actuarial Mathematics for Life Contingent Risks
- Actuarial modeling of life insurance using decrement models
- Analysis of competing risks by using Bayesian smoothing
- Analysis of multivariate survival data
- Credit scoring with macroeconomic variables using survival analysis
- Estimation in Dirichlet random effects models
- Estimation of Multivariate Frailty Models Using Penalized Partial Likelihood
- Fundamentals of actuarial mathematics
- Identifiability in hazard models with unobserved heterogeneity: The compatibility of two apparently contradictory results
- Modeling survival data: extending the Cox model
- Not if but when will borrowers default
- PHAB scores: proportional hazards analysis behavioural scores
- Semiparametric regression during 2003--2007
- Statistical models based on counting processes
- Survival Analysis Methods for Personal Loan Data
- Survival and event history analysis. A process point of view
- Systematic deviation in smooth mixed models for multi-level longitudinal data
- The multi-state latent factor intensity model for credit rating transitions
- The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
- Variance components.
Cited in
(5)- A new mixture model for the estimation of credit card exposure at default
- Models and forecasts of credit card balance
- Joint models for longitudinal and discrete survival data in credit scoring
- Dynamic survival models with varying coefficients for credit risks.
- A prediction-driven mixture cure model and its application in credit scoring
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