Behavioral technology credit scoring model with time-dependent covariates for stress test

DOI10.1016/j.ejor.2014.10.054zbMath1341.91128OpenAlexW1967799413MaRDI QIDQ2630239

Yong Han Ju, So Young Sohn, Song Yi Jeon

Publication date: 26 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.10.054

zbMATH Keywords

survival analysisstress testtime-varying covariatetechnology credit scoring

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (2)

Behaviour-based short-term invoice probability of default evaluation ⋮ Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default

Cites Work

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• Customer attrition analysis for financial services using proportional hazard models
• Updating a credit-scoring model based on new attributes without realization of actual data
• Integrated bank risk modeling: a bottom-up statistical framework
• The risk management for technology credit guarantee fund
• Credit scoring with macroeconomic variables using survival analysis

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