Credit scoring with macroeconomic variables using survival analysis
نویسندگان
چکیده
منابع مشابه
Credit scoring with macroeconomic variables using survival analysis
Survival analysis can be applied to build models for time of default on debt. In this paper we report an application of survival analysis to model default on a large data set of credit card accounts. We show that survival analysis is competitive for prediction of default in comparison with logistic regression. We explore the hypothesis that probability of default is affected by general conditio...
متن کاملUsing DEA for Classification in Credit Scoring
Credit scoring is a kind of binary classification problem that contains important information for manager to make a decision in particularly in banking authorities. Obtained scores provide a practical credit decision for a loan officer to classify clients to reject or accept for payment loan. For this sake, in this paper a data envelopment analysis- discriminant analysis (DEA-DA) approach is us...
متن کاملSurvival analysis for technology credit scoring adjusting total perception
In the area of technology financing, the scorecard model is one of the most popular tools used to help organizations decide whether or not to grant loans to applicant firms. However, the scorecards are often filled-in based on the evaluator’s total perception rather than the individual attribute scores of which the scorecards are composed. Misleading results may occur when reversely scored indi...
متن کاملLoss given default models incorporating macroeconomic variables for credit cards
Based onUKdata formajor retail credit cards,we build severalmodels of Loss GivenDefault based on account level data, including Tobit, a decision tree model, a Beta and fractional logit transformation. We find that Ordinary Least Squares models with macroeconomic variables perform best for forecasting Loss Given Default at the account and portfolio levels on independent hold-out data sets. The i...
متن کاملModeling customer revolving credit scoring using logistic regression, survival analysis and neural networks
The aim of the paper is to discuss credit scoring modeling of a customer revolving credit depending on customer application data and transaction behavior data. Logistic regression, survival analysis, and neural network credit scoring models were developed in order to assess relative importance of different variables in predicting the default of a customer. Three neural network algorithms were t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2009
ISSN: 0160-5682,1476-9360
DOI: 10.1057/jors.2008.130