Identifying future defaulters: A hierarchical Bayesian method

Fan Liu, Zhongsheng Hua and Andrew Lim

European Journal of Operational Research, 2015, vol. 241, issue 1, 202-211

Abstract: Traditional methods of applying classification models into the area of credit scoring may ignore the effect from censoring. Survival analysis has been introduced with its ability to deal with censored data. The mixture cure model, one important branch of survival models, is also applied in the context of credit scoring, assuming that the study population is a mixture of never-default and will-default customers.

Keywords: Risk management; Credit scoring; Mixture cure model; Bayesian analysis (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:241:y:2015:i:1:p:202-211

DOI: 10.1016/j.ejor.2014.08.008

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