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Survival Analysis Methods for Personal Loan Data

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Cited by:

  1. P Ma & J Crook & J Ansell, 2010. "Modelling take-up and profitability," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 430-442, March.
  2. Guo, Yanhong & Zhou, Wenjun & Luo, Chunyu & Liu, Chuanren & Xiong, Hui, 2016. "Instance-based credit risk assessment for investment decisions in P2P lending," European Journal of Operational Research, Elsevier, vol. 249(2), pages 417-426.
  3. Djeundje, Viani Biatat & Crook, Jonathan, 2019. "Dynamic survival models with varying coefficients for credit risks," European Journal of Operational Research, Elsevier, vol. 275(1), pages 319-333.
  4. Justin Sirignano & Kay Giesecke, 2019. "Risk Analysis for Large Pools of Loans," Management Science, INFORMS, vol. 65(1), pages 107-121, January.
  5. T Bellotti & J Crook, 2009. "Credit scoring with macroeconomic variables using survival analysis," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(12), pages 1699-1707, December.
  6. G Verstraeten & D Van den Poel, 2005. "The impact of sample bias on consumer credit scoring performance and profitability," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(8), pages 981-992, August.
  7. Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
  8. Ma, Tiejun & Tang, Leilei & McGroarty, Frank & Sung, Ming-Chien & Johnson, Johnnie E. V, 2016. "Time is money: Costing the impact of duration misperception in market prices," European Journal of Operational Research, Elsevier, vol. 255(2), pages 397-410.
  9. Jose Angelo Divino & Edna Souza Lima & Jaime Orrillo, 2013. "Interest rates and default in unsecured loan markets," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1925-1934, December.
  10. Medina-Olivares, Victor & Calabrese, Raffaella & Crook, Jonathan & Lindgren, Finn, 2023. "Joint models for longitudinal and discrete survival data in credit scoring," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1457-1473.
  11. Jiang, Cuiqing & Wang, Zhao & Zhao, Huimin, 2019. "A prediction-driven mixture cure model and its application in credit scoring," European Journal of Operational Research, Elsevier, vol. 277(1), pages 20-31.
  12. Ewa Wycinka, 2017. "Zastosowanie modeli zdarzen konkurujacych do badania ryzyka kredytowego," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 145-161.
  13. ter Braak, Anne & Geyskens, Inge & Dekimpe, Marnik G., 2014. "Taking private labels upmarket: Empirical generalizations on category drivers of premium private label introductions," Journal of Retailing, Elsevier, vol. 90(2), pages 125-140.
  14. Richard Chamboko & Jorge M. Bravo, 2016. "On the modelling of prognosis from delinquency to normal performance on retail consumer loans," Risk Management, Palgrave Macmillan, vol. 18(4), pages 264-287, December.
  15. B Baesens & T Van Gestel & M Stepanova & D Van den Poel & J Vanthienen, 2005. "Neural network survival analysis for personal loan data," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(9), pages 1089-1098, September.
  16. L N Allen & L C Rose, 2006. "Financial survival analysis of defaulted debtors," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(6), pages 630-636, June.
  17. Jiří Witzany & Anastasiia Kozina, 2022. "Recovery process optimization using survival regression," Operational Research, Springer, vol. 22(5), pages 5269-5296, November.
  18. Yan, Xiaodong & Wang, Hongni & Wang, Wei & Xie, Jinhan & Ren, Yanyan & Wang, Xinjun, 2021. "Optimal model averaging forecasting in high-dimensional survival analysis," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1147-1155.
  19. J Banasik & J Crook, 2010. "Reject inference in survival analysis by augmentation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 473-485, March.
  20. Ptak-Chmielewska Aneta & Matuszyk Anna, 2019. "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(3), pages 40-49, September.
  21. Luo, Sirong & Kong, Xiao & Nie, Tingting, 2016. "Spline based survival model for credit risk modeling," European Journal of Operational Research, Elsevier, vol. 253(3), pages 869-879.
  22. Justin A. Sirignano & Gerry Tsoukalas & Kay Giesecke, 2016. "Large-Scale Loan Portfolio Selection," Operations Research, INFORMS, vol. 64(6), pages 1239-1255, December.
  23. Zhao Wang & Cuiqing Jiang & Huimin Zhao, 2022. "Know Where to Invest: Platform Risk Evaluation in Online Lending," Information Systems Research, INFORMS, vol. 33(3), pages 765-783, September.
  24. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  25. 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.
  26. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  27. Ma, T. & Fraser-Mackenzie, P.A.F. & Sung, M. & Kansara, A.P. & Johnson, J.E.V., 2022. "Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate," European Journal of Operational Research, Elsevier, vol. 299(1), pages 330-345.
  28. S M Finlay, 2008. "Towards profitability: a utility approach to the credit scoring problem," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(7), pages 921-931, July.
  29. Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
  30. L C Thomas & R W Oliver & D J Hand, 2005. "A survey of the issues in consumer credit modelling research," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(9), pages 1006-1015, September.
  31. Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
  32. Lore Dirick & Gerda Claeskens & Bart Baesens, 2017. "Time to default in credit scoring using survival analysis: a benchmark study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(6), pages 652-665, June.
  33. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019. "Measuring expected time to default under stress conditions for corporate loans," Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
  34. Azamat Abdymomunov & Sharon Blei & Bakhodir Ergashev, 2015. "Integrating Stress Scenarios into Risk Quantification Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 57-79, February.
  35. ter Braak, Anne & Deleersnyder, Barbara, 2018. "Innovation Cloning: The Introduction and Performance of Private Label Innovation Copycats," Journal of Retailing, Elsevier, vol. 94(3), pages 312-327.
  36. Kilian R. Dinkelaker & Andreas-Walter Mattig & Stefan Morkoetter, 2019. "A Closer Look at Credt Rating Processes: Uncovering the Impact of Analyst Rotation," Working Papers on Finance 1911, University of St. Gallen, School of Finance.
  37. 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.
  38. Michal Rychnovský, 2018. "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(1), pages 34-46.
  39. G Andreeva & J Ansell & J N Crook, 2005. "Modelling the purchase propensity: analysis of a revolving store card," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(9), pages 1041-1050, September.
  40. Thomas, Lyn C., 2009. "Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2525-2534.
  41. Richard Chamboko & Jorge Miguel Bravo, 2020. "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, vol. 8(2), pages 1-29, June.
  42. Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
  43. Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Econometrics and Statistics, Elsevier, vol. 22(C), pages 39-55.
  44. Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013. "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 276-292.
  45. Jun†Tae Han & Jae†Seok Choi & Myeon†Jung Kim & Jina Jeong, 2018. "Developing a Risk Group Predictive Model for Korean Students Falling into Bad Debt," Asian Economic Journal, East Asian Economic Association, vol. 32(1), pages 3-14, March.
  46. Sanchez-Barrios, Luis Javier & Andreeva, Galina & Ansell, Jake, 2016. "“Time-to-profit scorecards for revolving credit”," European Journal of Operational Research, Elsevier, vol. 249(2), pages 397-406.
  47. Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
  48. Ahyun Kim & Silvana Trimi & Sang-Gun Lee, 2021. "Exploring the key success factors of films: a survival analysis approach," Service Business, Springer;Pan-Pacific Business Association, vol. 15(4), pages 613-638, December.
  49. Finlay, Steven, 2010. "Credit scoring for profitability objectives," European Journal of Operational Research, Elsevier, vol. 202(2), pages 528-537, April.
  50. repec:syb:wpbsba:03/2013 is not listed on IDEAS
  51. 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.
  52. Thi Mai Luong, 2020. "Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2020.
  53. Liu, Fan & Hua, Zhongsheng & Lim, Andrew, 2015. "Identifying future defaulters: A hierarchical Bayesian method," European Journal of Operational Research, Elsevier, vol. 241(1), pages 202-211.
  54. R T Stewart, 2011. "A profit-based scoring system in consumer credit: making acquisition decisions for credit cards," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(9), pages 1719-1725, September.
  55. Daniele De Leonardis & Roberto Rocci, 2008. "Assessing the default risk by means of a discrete‐time survival analysis approach," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(4), pages 291-306, July.
  56. Leow, Mindy & Crook, Jonathan, 2014. "Intensity models and transition probabilities for credit card loan delinquencies," European Journal of Operational Research, Elsevier, vol. 236(2), pages 685-694.
  57. M Malik & L C Thomas, 2010. "Modelling credit risk of portfolio of consumer loans," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 411-420, March.
  58. Aneta Ptak-Chmielewska & Paweł Kopciuszewski & Anna Matuszyk, 2023. "Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases," Risks, MDPI, vol. 11(2), pages 1-14, February.
  59. Janette Larney & James Samuel Allison & Gerrit Lodewicus Grobler & Marius Smuts, 2023. "Modelling the Time to Write-Off of Non-Performing Loans Using a Promotion Time Cure Model with Parametric Frailty," Mathematics, MDPI, vol. 11(10), pages 1-17, May.
  60. 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.
  61. Mo Leo S. F. & Yau Kelvin K. W., 2010. "Survival Mixture Model for Credit Risk Analysis," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(2), pages 1-20, July.
  62. L C Thomas, 2010. "Consumer finance: challenges for operational research," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(1), pages 41-52, January.
  63. Djeundje, Viani Biatat & Crook, Jonathan, 2019. "Identifying hidden patterns in credit risk survival data using Generalised Additive Models," European Journal of Operational Research, Elsevier, vol. 277(1), pages 366-376.
  64. Durdu Karasoy & Nuray Tuncer, 2015. "Outliers in Survival Analysis," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 3(2), pages 139-152, December.
  65. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn C., 2012. "Mixture cure models in credit scoring: If and when borrowers default," European Journal of Operational Research, Elsevier, vol. 218(1), pages 132-139.
  66. Gandy, Axel, 2012. "Performance monitoring of credit portfolios using survival analysis," International Journal of Forecasting, Elsevier, vol. 28(1), pages 139-144.
  67. Dirick, Lore & Claeskens, Gerda & Baesens, Bart, 2015. "An Akaike information criterion for multiple event mixture cure models," European Journal of Operational Research, Elsevier, vol. 241(2), pages 449-457.
  68. Andreeva, Galina & Ansell, Jake & Crook, Jonathan, 2007. "Modelling profitability using survival combination scores," European Journal of Operational Research, Elsevier, vol. 183(3), pages 1537-1549, December.
  69. Tong, Edward N.C. & Mues, Christophe & Brown, Iain & Thomas, Lyn C., 2016. "Exposure at default models with and without the credit conversion factor," European Journal of Operational Research, Elsevier, vol. 252(3), pages 910-920.
  70. Baidoo, Edwin & Natarajan, Ramachandran, 2021. "Profit-based credit models with lender’s attitude towards risk and loss," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
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