Credit risk modeling based on survival analysis with immunes

DOI10.1016/J.STAMET.2006.09.001zbMath1248.91095OpenAlexW1991573943MaRDI QIDQ713772

Abdel-Yazid Karim Djaïdja, Jan Beran

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2006.09.001

zbMATH Keywords

maximum likelihood estimationsurvival analysismixture distributiondefault probabilitycredit risk modelingextreme censoringtime to default

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (4)

Cure events in default prediction ⋮ Probability of default estimation in credit risk using mixture cure models ⋮ A prediction-driven mixture cure model and its application in credit scoring ⋮ Unnamed Item

Cites Work

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• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Asymptotic Results for Exponential Mixture Models with Long-Term Survivors

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