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Credit scoring with macroeconomic variables using survival analysis

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Cited by:

  1. Calabrese, Raffaella & Dombrowski, Timothy & Mandel, Antoine & Pace, R. Kelley & Zanin, Luca, 2024. "Impacts of extreme weather events on mortgage risks and their evolution under climate change: A case study on Florida," European Journal of Operational Research, Elsevier, vol. 314(1), pages 377-392.
  2. Alexandre, Michel & Antônio Silva Brito, Giovani & Cotrim Martins, Theo, 2017. "Default contagion among credit modalities: evidence from Brazilian data," MPRA Paper 76859, University Library of Munich, Germany.
  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. repec:rze:efinan:v:9:y:2012:i:1:p:44-59 is not listed on IDEAS
  5. Medina-Olivares, Victor & Calabrese, Raffaella & Crook, Jonathan & Lindgren, Finn, 2023. "Joint models for longitudinal and discrete survival data in credit scoring," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1457-1473.
  6. 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).
  7. Rais Ahmad Itoo & A. Selvarasu & José António Filipe, 2015. "Loan Products and Credit Scoring by Commercial Banks (India)," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 5(1), pages 851-851.
  8. Ptak-Chmielewska Aneta & Matuszyk Anna, 2019. "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(3), pages 40-49, September.
  9. 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.
  10. Medina-Olivares, Victor & Lindgren, Finn & Calabrese, Raffaella & Crook, Jonathan, 2023. "Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: An application to credit repayment behaviour," European Journal of Operational Research, Elsevier, vol. 310(2), pages 860-873.
  11. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  12. Medina-Olivares, Victor & Calabrese, Raffaella & Dong, Yizhe & Shi, Baofeng, 2022. "Spatial dependence in microfinance credit default," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1071-1085.
  13. Bellotti, Tony & Crook, Jonathan, 2011. "Forecasting and Stress Testing Credit Card Default Using Dynamic Models," Working Papers 11-34, University of Pennsylvania, Wharton School, Weiss Center.
  14. Xinlong Jia & Lili Yang, 2023. "Nexus between financial intermediaries and natural resource price volatility in China," Economic Change and Restructuring, Springer, vol. 56(5), pages 2993-3014, October.
  15. Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
  16. TOBBACK, Ellen & MARTENS, David, 2017. "Retail credit scoring using fine-grained payment data," Working Papers 2017011, University of Antwerp, Faculty of Business and Economics.
  17. Ewa Wycinka, 2015. "Modelling Time to Default Or Early Repayment as Competing Risks (Modelowanie czasu do zaprzestania splat rat kredytu lub wczesniejszej splaty kredytu jako zdarzen konkurujacych )," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 13(55), pages 146-157.
  18. Heintzelman, Martin D. & Walsh, Patrick J. & Grzeskowiak, Dustin J., 2013. "Explaining the appearance and success of open space referenda," Ecological Economics, Elsevier, vol. 95(C), pages 108-117.
  19. Alam, Nurul & Gao, Junbin & Jones, Stewart, 2021. "Corporate failure prediction: An evaluation of deep learning vs discrete hazard models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  20. Ghulam, Yaseen & Derber, Julian, 2018. "Determinants of sovereign defaults," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 43-55.
  21. Yuta Tanoue & Satoshi Yamashita & Hideaki Nagahata, 2020. "Comparison study of two-step LGD estimation model with probability machines," Risk Management, Palgrave Macmillan, vol. 22(3), pages 155-177, September.
  22. Xia, Yufei & Zhao, Junhao & He, Lingyun & Li, Yinguo & Yang, Xiaoli, 2021. "Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1590-1613.
  23. Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013. "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 276-292.
  24. Yufei Xia & Xinyi Guo & Yinguo Li & Lingyun He & Xueyuan Chen, 2022. "Deep learning meets decision trees: An application of a heterogeneous deep forest approach in credit scoring for online consumer lending," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1669-1690, December.
  25. Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
  26. Ismail Tijjani Idris & Sabri Nayan, 2016. "The Moderating Role of Loan Monitoring on the Relationship between Macroeconomic Variables and Non-performing Loans in Association of Southeast Asian Nations Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 402-408.
  27. 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.
  28. Partha Sengupta & Christopher H. Wheeler, 2024. "Credit card loss forecasting: Some lessons from COVID," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2448-2477, November.
  29. Petrus Strydom, 2017. "Macro economic cycle effect on mortgage and personal loan default rates," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-1.
  30. Bell, Simon, 2012. "DPSIR=A Problem Structuring Method? An exploration from the “Imagine” approach," European Journal of Operational Research, Elsevier, vol. 222(2), pages 350-360.
  31. 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.
  32. Dirick, Lore & Claeskens, Gerda & Baesens, Bart, 2015. "An Akaike information criterion for multiple event mixture cure models," European Journal of Operational Research, Elsevier, vol. 241(2), pages 449-457.
  33. Joseph L Breeden & Lyn Thomas, 2016. "Solutions to specification errors in stress testing models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 67(6), pages 830-840, June.
  34. Ju, Yonghan & Jeon, Song Yi & Sohn, So Young, 2015. "Behavioral technology credit scoring model with time-dependent covariates for stress test," European Journal of Operational Research, Elsevier, vol. 242(3), pages 910-919.
  35. Goldmann, Leonie & Crook, Jonathan & Calabrese, Raffaella, 2024. "A new ordinal mixed-data sampling model with an application to corporate credit rating levels," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1111-1126.
  36. Andreea Costea, 2017. "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 157-186, March.
  37. Djeundje, Viani Biatat & Crook, Jonathan, 2019. "Dynamic survival models with varying coefficients for credit risks," European Journal of Operational Research, Elsevier, vol. 275(1), pages 319-333.
  38. Yonghan Ju & So Young Sohn, 2015. "Stress test for a technology credit guarantee fund based on survival analysis," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 66(3), pages 463-475, March.
  39. Jiang, Cuiqing & Wang, Zhao & Zhao, Huimin, 2019. "A prediction-driven mixture cure model and its application in credit scoring," European Journal of Operational Research, Elsevier, vol. 277(1), pages 20-31.
  40. Karol Przanowski, 2013. "Banking Retail Consumer Finance Data Generator – Credit Scoring Data Repository," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 9(1), pages 44-59, May.
  41. Andrew R. Sanderford & George A. Overstreet & Peter A. Beling & Kanshukan Rajaratnam, 2015. "Energy-efficient homes and mortgage risk: crossing the chasm at last?," Environment Systems and Decisions, Springer, vol. 35(1), pages 157-168, March.
  42. Marcin Sztaudynger, 2018. "Czynniki makroekonomiczne a spłacalność kredytów konsumpcyjnych," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 155-177.
  43. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  44. Naveed Chehrazi & Thomas A. Weber, 2015. "Dynamic Valuation of Delinquent Credit-Card Accounts," Management Science, INFORMS, vol. 61(12), pages 3077-3096, December.
  45. S Ingolfsson & B T Elvarsson, 2010. "Cyclical adjustment of point-in-time PD," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(3), pages 374-380, March.
  46. Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
  47. Lore Dirick & Gerda Claeskens & Bart Baesens, 2017. "Time to default in credit scoring using survival analysis: a benchmark study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(6), pages 652-665, June.
  48. Arno Botha & Tanja Verster & Roelinde Bester, 2024. "The TruEnd-procedure: Treating trailing zero-valued balances in credit data," Papers 2404.17008, arXiv.org, revised Nov 2024.
  49. Bellotti, Tony & Crook, Jonathan, 2013. "Forecasting and stress testing credit card default using dynamic models," International Journal of Forecasting, Elsevier, vol. 29(4), pages 563-574.
  50. Maria Rosa Borges & Raquel Machado, 2020. "Modelling credit risk: evidence for EMV methodology on Portuguese mortgage data," Working Papers Department of Economics 2020/03, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  51. Karol Przanowski, 2011. "Banking retail consumer finance data generator - credit scoring data repository," Papers 1105.2968, arXiv.org.
  52. Michal Rychnovský, 2018. "Survival Analysis As A Tool For Better Probability Of Default Prediction," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(1), pages 34-46.
  53. Zhou, Ying & Shen, Long & Ballester, Laura, 2023. "A two-stage credit scoring model based on random forest: Evidence from Chinese small firms," International Review of Financial Analysis, Elsevier, vol. 89(C).
  54. Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
  55. Victor Medina-Olivares & Finn Lindgren & Raffaella Calabrese & Jonathan Crook, 2023. "Joint model for longitudinal and spatio-temporal survival data," Papers 2311.04008, arXiv.org.
  56. Tomáš Vaněk, 2016. "Economic Adjustment of Default Probabilities," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 2(2), pages 122-130.
  57. repec:syb:wpbsba:03/2013 is not listed on IDEAS
  58. Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
  59. Thi Mai Luong, 2020. "Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2020, January-A.
  60. Liu, Fan & Hua, Zhongsheng & Lim, Andrew, 2015. "Identifying future defaulters: A hierarchical Bayesian method," European Journal of Operational Research, Elsevier, vol. 241(1), pages 202-211.
  61. Arno Botha & Esmerelda Oberholzer & Janette Larney & Riaan de Jongh, 2023. "Defining and comparing SICR-events for classifying impaired loans under IFRS 9," Papers 2303.03080, arXiv.org, revised Aug 2024.
  62. Norliza Che Yahya & Bushra Mohd Zaki & Nik Norain Izzati Nik Azid & Nur Fatihah Mohd Ali & Nor Amanie Najihah Hussain, 2023. "The Determinants of Household Debt in Malaysia," Information Management and Business Review, AMH International, vol. 15(3), pages 183-194.
  63. Tomáš Vaněk & David Hampel, 2017. "The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 759-776.
  64. Krüger, Steffen & Oehme, Toni & Rösch, Daniel & Scheule, Harald, 2018. "A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 246-262.
  65. Joseph L. Breeden, 2024. "An Age–Period–Cohort Framework for Profit and Profit Volatility Modeling," Mathematics, MDPI, vol. 12(10), pages 1-23, May.
  66. 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).
  67. Fitzpatrick, Trevor & Mues, Christophe, 2016. "An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market," European Journal of Operational Research, Elsevier, vol. 249(2), pages 427-439.
  68. 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.
  69. Tong, Edward N.C. & Mues, Christophe & Thomas, Lyn C., 2012. "Mixture cure models in credit scoring: If and when borrowers default," European Journal of Operational Research, Elsevier, vol. 218(1), pages 132-139.
  70. Huong Dang, 2014. "A Competing Risks Dynamic Hazard Approach to Investigate the Insolvency Outcomes of Property-Casualty Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 39(1), pages 42-76, January.
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