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Spatial correlation in credit risk and its improvement in credit scoring

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  • Fernandes, Guilherme Barreto
  • Artes , Rinaldo
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    Paper provided by Insper Working Paper, Insper Instituto de Ensino e Pesquisa in its series Insper Working Papers with number wpe_321.

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    Date of creation: Oct 2013
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    Handle: RePEc:ibm:ibmecp:wpe_321

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    1. Barro, Diana & Basso, Antonella, 2010. "Credit contagion in a network of firms with spatial interaction," European Journal of Operational Research, Elsevier, vol. 205(2), pages 459-468, September.
    2. Sumit Agarwal, 2010. "Distance and Private Information in Lending," Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2757-2788, July.
    3. Peter Kolesar & Janet L. Showers, 1985. "A Robust Credit Screening Model Using Categorical Data," Management Science, INFORMS, vol. 31(2), pages 123-133, February.
    4. Wiginton, John C., 1980. "A Note on the Comparison of Logit and Discriminant Models of Consumer Credit Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 757-770, September.
    5. Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
    6. David Durand, 1941. "Risk Elements in Consumer Instalment Financing," NBER Books, National Bureau of Economic Research, Inc, number dura41-1, May.
    7. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
    8. D. J. Hand & W. E. Henley, 1997. "Statistical Classification Methods in Consumer Credit Scoring: a Review," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 523-541.
    9. Thomas, Lyn C., 2009. "Consumer Credit Models: Pricing, Profit and Portfolios," OUP Catalogue, Oxford University Press, number 9780199232130.
    10. José-María Montero-Lorenzo & Beatriz Larraz-Iribas, 2012. "Space-time approach to commercial property prices valuation," Applied Economics, Taylor & Francis Journals, vol. 44(28), pages 3705-3715, October.
    11. David Durand, 1941. "Risk Elements in Consumer Instalment Financing, Technical Edition," NBER Books, National Bureau of Economic Research, Inc, number dura41-2, May.
    12. Orgler, Yair E, 1970. "A Credit Scoring Model for Commercial Loans," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 2(4), pages 435-45, November.
    13. Sumit Agarwal & Brent W. Ambrose & Souphala Chomsisengphet & Anthony B. Sanders, 2012. "Thy Neighbor’s Mortgage: Does Living in a Subprime Neighborhood Affect One’s Probability of Default?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 1-22, 03.
    14. Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2010. "Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods," Journal of Real Estate Research, American Real Estate Society, vol. 32(2), pages 139-160.
    15. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
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