Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards

DOI10.1016/j.ejor.2018.05.040zbMath1403.91246OpenAlexW2803388689WikidataQ129803575 ScholiaQ129803575MaRDI QIDQ724162

Viani Biatat Djeundje, Jonathan N. Crook

Publication date: 25 July 2018

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

Full work available at URL: https://www.pure.ed.ac.uk/ws/files/60029042/heterogenity_update7.pdf

zbMATH Keywords

intensity modelscredit scoringmulti-state modelsOR in bankingcredit cards

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (3)

Joint models for longitudinal and discrete survival data in credit scoring ⋮ Dynamic survival models with varying coefficients for credit risks. ⋮ A prediction-driven mixture cure model and its application in credit scoring

Uses Software

• SemiPar
• invGauss

Cites Work

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