Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
From MaRDI portal
Publication:724162
DOI10.1016/J.EJOR.2018.05.040zbMATH Open1403.91246OpenAlexW2803388689WikidataQ129803575 ScholiaQ129803575MaRDI QIDQ724162FDOQ724162
Authors: Viani Biatat Djeundje, Jonathan Crook 
Publication date: 25 July 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://www.pure.ed.ac.uk/ws/files/60029042/heterogenity_update7.pdf
Recommendations
- A new mixture model for the estimation of credit card exposure at default
- The multi-state latent factor intensity model for credit rating transitions
- Credit scoring with macroeconomic variables using survival analysis
- Modeling frailty-correlated defaults using many macroeconomic covariates
- A survey of the issues in consumer credit modelling research
- Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method
- On a multivariate Markov chain model for credit risk measurement
- Modelling credit card exposure at default using vine copula quantile regression
- scientific article; zbMATH DE number 6951485
Cites Work
- Survival and event history analysis. A process point of view
- Semiparametric regression during 2003--2007
- Analysis of multivariate survival data
- Statistical models based on counting processes
- Modeling survival data: extending the Cox model
- Variance components.
- Actuarial modeling of life insurance using decrement models
- The multi-state latent factor intensity model for credit rating transitions
- Estimation of Multivariate Frailty Models Using Penalized Partial Likelihood
- Not if but when will borrowers default
- Survival Analysis Methods for Personal Loan Data
- Credit scoring with macroeconomic variables using survival analysis
- The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
- PHAB scores: proportional hazards analysis behavioural scores
- Actuarial Mathematics for Life Contingent Risks
- Estimation in Dirichlet random effects models
- Identifiability in hazard models with unobserved heterogeneity: The compatibility of two apparently contradictory results
- Systematic deviation in smooth mixed models for multi-level longitudinal data
- Analysis of competing risks by using Bayesian smoothing
- A general multilevel multistate competing risks model for event history data, with an application to a study of contraceptive use dynamics
- Fundamentals of actuarial mathematics
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
Uses Software
This page was built for publication: Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q724162)
