Spatial dependence in credit risk and its improvement in credit scoring

DOI10.1016/j.ejor.2015.07.013zbMath1346.91249OpenAlexW972495054MaRDI QIDQ320986

Guilherme Barreto Fernandes, Rinaldo Artes

Publication date: 7 October 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.2015.07.013

zbMATH Keywords

risk analysisspatial dependencecredit scoringordinary KrigingSME credit risk

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (7)

Kriging of financial term-structures ⋮ Credit scoring by incorporating dynamic networked information ⋮ Robust and sparse banking network estimation ⋮ Bank-sourced credit transition matrices: estimation and characteristics ⋮ Exploration of credit risk of P2P platform based on data mining technology ⋮ Fuzzy factorization machine ⋮ Contagion effects of UK small business failures: a spatial hierarchical autoregressive model for binary data

Cites Work

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• Credit contagion and aggregate losses
• Covariate measurement error in logistic regression
• An empirical comparison of kriging methods for nonlinear spatial point prediction
• Credit Scoring and Its Applications
• Quantitative Methods in Credit Management: A Survey
• Simulation-Extrapolation Estimation in Parametric Measurement Error Models

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