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Modelling Time to Default Or Early Repayment as Competing Risks (Modelowanie czasu do zaprzestania splat rat kredytu lub wczesniejszej splaty kredytu jako zdarzen konkurujacych )

Author

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  • Ewa Wycinka

    (Katedra Statystyki, Wydzial Zarzadzania, Uniwersytet Gdanski)

Abstract

Early repayment and default are two basic perils causing credit termination. Who of the borrowers and when are at the risk of both events is important information for the creditor. The article employs some of the estimators of the method of competing risks to model time to default or early repayment. The empirical part of the article consists of the results of the study on the sample of 5000 five-year loans that were observed for 24 months. Probabilities of default and early repayment have been evaluated by means of selected estimators. These estimators are also suitable for distinguishing borrowers with different risks of default.

Suggested Citation

  • Ewa Wycinka, 2015. "Modelling Time to Default Or Early Repayment as Competing Risks (Modelowanie czasu do zaprzestania splat rat kredytu lub wczesniejszej splaty kredytu jako zdarzen konkurujacych )," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 13(55), pages 146-157.
    • Handle: RePEc:sgm:pzwzuw:v:13:i:55:y:2015:p:146-157
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    References listed on IDEAS

    as
    1. Glennon, Dennis & Nigro, Peter, 2005. "Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 923-947, October.
    2. G Andreeva, 2006. "European generic scoring models using survival analysis," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(10), pages 1180-1187, October.
    3. John G. T. Watkins & Andrey L. Vasnev & Richard Gerlach, 2014. "Multiple Event Incidence And Duration Analysis For Credit Data Incorporating Non‐Stochastic Loan Maturity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(4), pages 627-648, June.
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    More about this item

    Keywords

    credit scoring; competing risks; survival analysis;
    All these keywords.

    JEL classification:

    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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