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dc.contributor.authorCao, Ricardo
dc.contributor.authorVilar Fernández, Juan Manuel
dc.contributor.authorDevía, A.
dc.identifier.citationCao, Ricardo; Vilar Fernández, Juan Manuel; Devía, A. Modelling consumer credit risk via survival analysis. "SORT", 2009, vol. 33, núm. 1, p. 3-30.
dc.description.abstractCredit 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.extent28 p.
dc.publisherInstitut d'Estadística de Catalunya
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
dc.subject.lcshMathematical statistics
dc.subject.lcshMathematical economics
dc.subject.lcshSurvival analysis (Biometry)
dc.subject.otherProbability of default
dc.subject.otherBasel II
dc.subject.otherNonparametric regression
dc.subject.otherConditional survival function
dc.subject.otherGeneralized product-limit estimator
dc.titleModelling consumer credit risk via survival analysis
dc.subject.lemacEstadística matemàtica--Aplicacions
dc.subject.lemacMatemàtica financera
dc.subject.lemacAnàlisi de supervivència (Biometria)
dc.description.peerreviewedPeer Reviewed
dc.subject.amsClassificació AMS::62 Statistics::62P Applications
dc.subject.amsClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
dc.subject.amsClassificació AMS::62 Statistics::62G Nonparametric inference
dc.subject.amsClassificació AMS::62 Statistics::62N Survival analysis and censored data
dc.rights.accessOpen Access
upcommons.citation.authorCao, Ricardo; Vilar Fernández, Juan Manuel; Devía, A.

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