Mixture cure models in credit scoring: If and when borrowers default
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References listed on IDEAS
- Yildiray Yildirim, 2008. "Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 93-111, August.
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- 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.
- Bravo, Cristián & Maldonado, Sebastián & Weber, Richard, 2013. "Granting and managing loans for micro-entrepreneurs: New developments and practical experiences," European Journal of Operational Research, Elsevier, vol. 227(2), pages 358-366.
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- Lessmann, Stefan & Baesens, Bart & Seow, Hsin-Vonn & Thomas, Lyn C., 2015. "Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research," European Journal of Operational Research, Elsevier, vol. 247(1), pages 124-136.
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- 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.
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- 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.
- 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.
- Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2016. "Measuring expected time to default under stress conditions for corporate loans," NBP Working Papers 237, Narodowy Bank Polski, Economic Research Department.
More about this item
KeywordsCredit scoring; Survival analysis; Mixture cure models; Regression; Risk analysis;
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