Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model

DOI10.1080/02664763.2013.784894OpenAlexW2139120543MaRDI QIDQ5129006

Raffaella Calabrese, Silvia Angela Osmetti

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/11179/1/CALABRESE%20OSMETTI.pdf

zbMATH Keywords

rare eventsgeneralized extreme value distributiongeneralized linear modelbinary datasmall and medium enterprisescredit defaults

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (12)

Zero-inflated generalized extreme value regression model for binary response data and application in health study ⋮ Competing risks proportional-hazards cure model and generalized extreme value regression: an application to bank failures and acquisitions in the United States ⋮ An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market ⋮ Quantification of model risk that is caused by model misspecification ⋮ Optimal cut-off for rare events and unbalanced misclassification costs ⋮ The value of text for small business default prediction: a deep learning approach ⋮ Evaluation and prediction under hierarchical and bivariate copula models for seat belt use data ⋮ The effectiveness of TARP-CPP on the US banking industry: a new copula-based approach ⋮ Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients ⋮ An introduction to gevistic regression mortality models ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ Sparse regression for extreme values

Uses Software

• ismev
• bootstrap
• dobson
• Dowd
• CreditRisk+
• bootlib

Cites Work

• Random survival forests models for SME credit risk measurement
• Measuring classifier performance: a coherent alternative to the area under the ROC curve
• Default Estimation and Expert Information
• Estimation of Response Probabilities From Augmented Retrospective Observations
• Logistic disease incidence models and case-control studies
• The Estimation of Choice Probabilities from Choice Based Samples
• Extreme Value Theory as a Risk Management Tool
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