Models of Assessment of the Credit Risk of Borrowers with a Time Parameter for the Systems of Application Credit Scoring
The article considers a concept of introduction of the time factor into the models of application credit scoring as a key characteristic of a default level. Using example of data of the consumption segment of the credit market of Ukraine, the article presents results of modelling the credit risk of potential borrowers (applicants), using approaches of Kaplan-Meier and Cox.
Volume (Year): (2013)
Issue (Month): 7 ()
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- B. Baesens & T. Van Gestel & M. Stepanova & D. Van Den Poel, 2004. "Neural Network Survival Analysis for Personal Loan Data," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/281, Ghent University, Faculty of Economics and Business Administration.
- Anderson, Raymond, 2007. "The Credit Scoring Toolkit: Theory and Practice for Retail Credit Risk Management and Decision Automation," OUP Catalogue, Oxford University Press, number 9780199226405, December.
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