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 upcommons.citation.author Cao, Ricardo; Vilar Fernández, Juan Manuel; Devía, A. upcommons.citation.published true upcommons.citation.publicationName SORT upcommons.citation.volume 33 upcommons.citation.number 1 upcommons.citation.startingPage 3 upcommons.citation.endingPage 30
﻿