Forecasting and stress testing credit card default using dynamic models
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- 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.
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- TOBBACK, Ellen & MARTENS, David, 2017. "Retail credit scoring using fine-grained payment data," Working Papers 2017011, University of Antwerp, Faculty of Applied Economics.
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- 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
KeywordsSurvival analysis; Stress testing; Credit risk;
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