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Time to default in credit scoring using survival analysis: a benchmark study

Citations

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Cited by:

  1. Ewa Wycinka & Tomasz Jurkiewicz, 2019. "Survival Regression Models For Single Events And Competing Risks Based On Pseudoobservations," Statistics in Transition New Series, Polish Statistical Association, vol. 20(1), pages 171-188, March.
  2. Barbaglia, Luca & Fatica, Serena & Rho, Caterina, 2023. "Flooded credit markets: physical climate risk and small business lending," JRC Working Papers in Economics and Finance 2023-14, Joint Research Centre, European Commission.
  3. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
  4. Hao Wang & Anthony Bellotti & Rong Qu & Ruibin Bai, 2024. "Discrete-Time Survival Models with Neural Networks for Age–Period–Cohort Analysis of Credit Risk," Risks, MDPI, vol. 12(2), pages 1-26, February.
  5. Pei, Youquan & Peng, Heng & Xu, Jinfeng, 2024. "A latent class Cox model for heterogeneous time-to-event data," Journal of Econometrics, Elsevier, vol. 239(2).
  6. 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.
  7. Bátiz-Zuk Enrique & Mohamed Abdulkadir & Sánchez-Cajal Fátima, 2021. "Exploring the sources of loan default clustering using survival analysis with frailty," Working Papers 2021-14, Banco de México.
  8. Anh Nguyet Vu, 2025. "The impact of conventional and unconventional monetary policies on loan default risk—Evidence from UK peer‐to‐peer lending platforms," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 242-260, January.
  9. Gero Friedrich Bone-Winkel & Felix Reichenbach, 2024. "Improving credit risk assessment in P2P lending with explainable machine learning survival analysis," Digital Finance, Springer, vol. 6(3), pages 501-542, September.
  10. Ghulam, Yaseen, 2025. "A further examination of sovereign domestic and external debt defaults," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  11. Hung Xuan Do & Daniel Rösch & Harald Scheule, 2020. "Liquidity Constraints, Home Equity and Residential Mortgage Losses," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 208-246, August.
  12. Bocchio, Cecilia & Crook, Jonathan & Andreeva, Galina, 2023. "The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1655-1677.
  13. Arno Botha & Tanja Verster & Bernard Scheepers, 2025. "Towards modelling lifetime default risk: Exploring different subtypes of recurrent event Cox-regression models," Papers 2505.01044, arXiv.org.
  14. 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.
  15. Wycinka Ewa & Jurkiewicz Tomasz, 2019. "Survival Regression Models For Single Events And Competing Risks Based On Pseudo-Observations," Statistics in Transition New Series, Statistics Poland, vol. 20(1), pages 171-188, March.
  16. Alvaro Arroyo & Alvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2023. "Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers," Papers 2306.05479, arXiv.org.
  17. Born, Alexander & Kovachka, Nikoleta & Lessmann, Stefan & Seow, Hsin-Vonn, 2018. "Price Management in the Used-Car Market: An Evaluation of Survival Analysis," IRTG 1792 Discussion Papers 2018-065, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  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. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  20. Arno Botha & Tanja Verster & Roelinde Bester, 2024. "The TruEnd-procedure: Treating trailing zero-valued balances in credit data," Papers 2404.17008, arXiv.org, revised Mar 2025.
  21. Andrea Marletta, 2024. "How to control the effectiveness of a campaign of mailing list marketing: a proposal based on survival analysis," Annals of Operations Research, Springer, vol. 342(3), pages 1581-1604, November.
  22. 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.
  23. Eni Musta & Valentin Patilea & Ingrid Van Keilegom, 2024. "A two‐step estimation procedure for semiparametric mixture cure models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 987-1011, September.
  24. Lohmann, Christian & Ohliger, Thorsten, 2024. "Predicting the cure of a defaulted company: Nonlinear relationships between loan-related variables and the cure probability," Research in International Business and Finance, Elsevier, vol. 70(PB).
  25. Caselli, Stefano & Corbetta, Guido & Cucinelli, Doriana & Rossolini, Monica, 2021. "A survival analysis of public guaranteed loans: Does financial intermediary matter?," Journal of Financial Stability, Elsevier, vol. 54(C).
  26. Bátiz-Zuk Enrique & González-Holden Alexa, 2023. "Identifying Gender Disparities on the Time to Repay Microfinance Group Loans: Evidence from Mexico," Working Papers 2023-07, Banco de México.
  27. Cedric H. A. Koffi & Viani Biatat Djeundje & Olivier Menoukeu Pamen, 2024. "Impact of social factors on loan delinquency in microfinance," Papers 2410.13100, arXiv.org.
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