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Competing Risk Models of Default in the Presence of Early Repayments

Author

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  • Wycinka Ewa

    (University of Gdańsk, Gdańsk, Poland)

Abstract

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution’s credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.

Suggested Citation

  • Wycinka Ewa, 2019. "Competing Risk Models of Default in the Presence of Early Repayments," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 99-120, June.
    • Handle: RePEc:vrs:eaiada:v:23:y:2019:i:2:p:99-120:n:7
    DOI: 10.15611/eada.2019.2.07
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    References listed on IDEAS

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    Cited by:

    1. Jackson P. Lautier & Vladimir Pozdnyakov & Jun Yan, 2022. "On the Convergence of Credit Risk in Current Consumer Automobile Loans," Papers 2211.09176, arXiv.org, revised Jan 2024.

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    More about this item

    Keywords

    Cox model; Fine-Gray model; pseudo-observations; mixture models; vertical modelling;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

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