Spline based survival model for credit risk modeling

DOI10.1016/j.ejor.2016.02.050zbMath1346.91252OpenAlexW2302148421MaRDI QIDQ323267

Xiao Kong, Sirong Luo, Tingting Nie

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.2016.02.050

zbMATH Keywords

credit risk scoringregression splineretail bankingsurvival modeling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (3)

Dynamic survival models with varying coefficients for credit risks. ⋮ A classification tree approach for the modeling of competing risks in discrete time ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Uses Software

• rms
• aplore3
• ElemStatLearn

Cites Work

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