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Modelling consumer credit risk via survival analysis
dc.contributor.author | Cao, Ricardo |
dc.contributor.author | Vilar Fernández, Juan Manuel |
dc.contributor.author | Devía, A. |
dc.date.accessioned | 2010-04-26T18:37:55Z |
dc.date.available | 2010-04-26T18:37:55Z |
dc.date.issued | 2009 |
dc.identifier.citation | Cao, Ricardo; Vilar Fernández, Juan Manuel; Devía, A. Modelling consumer credit risk via survival analysis. "SORT", 2009, vol. 33, núm. 1, p. 3-30. |
dc.identifier.issn | 1696-2281 |
dc.identifier.uri | http://hdl.handle.net/2099/8937 |
dc.description.abstract | Credit risk models are used by financial companies to evaluate in advance the insolvency risk caused by credits that enter into default. Many models for credit risk have been developed over the past few decades. In this paper, we focus on those models that can be formulated in terms of the probability of default by using survival analysis techniques. With this objective three different mechanisms are proposed based on the key idea of writing the default probability in terms of the conditional distribution function of the time to default. The first method is based on a Cox’s regression model, the second approach uses generalized linear models under censoring and the third one is based on nonparametric kernel estimation, using the product-limit conditional distribution function estimator by Beran. The resulting nonparametric estimator of the default probability is proved to be consistent and asymptotically normal. An empirical study, based on modified real data, illustrates the three methods. |
dc.format.extent | 28 p. |
dc.language.iso | eng |
dc.publisher | Institut d'Estadística de Catalunya |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera |
dc.subject.lcsh | Mathematical statistics |
dc.subject.lcsh | Mathematical economics |
dc.subject.lcsh | Survival analysis (Biometry) |
dc.subject.other | Probability of default |
dc.subject.other | Basel II |
dc.subject.other | Nonparametric regression |
dc.subject.other | Conditional survival function |
dc.subject.other | Generalized product-limit estimator |
dc.title | Modelling consumer credit risk via survival analysis |
dc.type | Article |
dc.subject.lemac | Estadística matemàtica--Aplicacions |
dc.subject.lemac | Matemàtica financera |
dc.subject.lemac | Anàlisi de supervivència (Biometria) |
dc.description.peerreviewed | Peer Reviewed |
dc.subject.ams | Classificació AMS::62 Statistics::62P Applications |
dc.subject.ams | Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics |
dc.subject.ams | Classificació AMS::62 Statistics::62G Nonparametric inference |
dc.subject.ams | Classificació AMS::62 Statistics::62N Survival analysis and censored data |
dc.rights.access | Open Access |
local.citation.author | Cao, Ricardo; Vilar Fernández, Juan Manuel; Devía, A. |
local.citation.publicationName | SORT |
local.citation.volume | 33 |
local.citation.number | 1 |
local.citation.startingPage | 3 |
local.citation.endingPage | 30 |