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Spatial correlation in credit risk and its improvement in credit scoring

  • 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. 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.
    2. Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
    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. 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.
    5. 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.
    6. Beatriz Larraz Iribas & Jose Maria Montero Lorenzo, 2011. "Space-time approach to commercial property prices valuation," Post-Print hal-00712371, HAL.
    7. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
    8. Sumit Agarwal, 2010. "Distance and Private Information in Lending," Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2757-2788, July.
    9. David Durand, 1941. "Risk Elements in Consumer Instalment Financing, Technical Edition," NBER Books, National Bureau of Economic Research, Inc, number dura41-2, July.
    10. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
    11. David Durand, 1941. "Risk Elements in Consumer Instalment Financing," NBER Books, National Bureau of Economic Research, Inc, number dura41-1, July.
    12. Thomas, Lyn C., 2009. "Consumer Credit Models: Pricing, Profit and Portfolios," OUP Catalogue, Oxford University Press, number 9780199232130.
    13. 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.
    14. 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.
    15. 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.
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