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Financial survival analysis of defaulted debtors

Author

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  • L N Allen

    (Massey University)

  • L C Rose

    (Massey University)

Abstract

This research centres on the financial survival experience of participants in a New Zealand court-administered debt repayment plan. Using Kaplan–Meier estimators of survival and hazard functions, we summarize and plot survival data. Group experience is compared by means of log-rank tests. The proportional hazard models, fitted over a partitioned time axis, demonstrate that a number of factors including the number of dependents and the fact of previous bankruptcy are predictive of defaulted debtors’ financial survival.

Suggested Citation

  • L N Allen & L C Rose, 2006. "Financial survival analysis of defaulted debtors," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(6), pages 630-636, June.
    • Handle: RePEc:pal:jorsoc:v:57:y:2006:i:6:d:10.1057_palgrave.jors.2602038
    DOI: 10.1057/palgrave.jors.2602038
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    References listed on IDEAS

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    8. Altman, Edward I. & Suggitt, Heather J., 2000. "Default rates in the syndicated bank loan market: A mortality analysis," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 229-253, January.
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    Cited by:

    1. H J Jeon & S Y Sohn, 2008. "The risk management for technology credit guarantee fund," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(12), pages 1624-1632, December.
    2. Rebeca Peláez & Ricardo Cao & Juan M. Vilar, 2022. "Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation," Mathematics, MDPI, vol. 10(9), pages 1-25, May.
    3. Rebeca Peláez Suárez & Ricardo Cao Abad & Juan M. Vilar Fernández, 2021. "Probability of default estimation in credit risk using a nonparametric approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 383-405, June.
    4. Peláez, Rebeca & Van Keilegom, Ingrid & Cao, Ricardo & Vilar, Juan M., 2024. "Probability of default estimation in credit risk using mixture cure models," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
    5. Janette Larney & James Samuel Allison & Gerrit Lodewicus Grobler & Marius Smuts, 2023. "Modelling the Time to Write-Off of Non-Performing Loans Using a Promotion Time Cure Model with Parametric Frailty," Mathematics, MDPI, vol. 11(10), pages 1-17, May.

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