Dynamic survival models with varying coefficients for credit risks

Viani Biatat Djeundje and Jonathan Crook

European Journal of Operational Research, 2019, vol. 275, issue 1, 319-333

Abstract: Single event survival models predict the probability that an event will occur in the next period of time, given that the event has not happened before. In the context of credit risk, where one may wish to predict the probability of default on a loan account, such models have advantages over cross sectional models. The literature shows that the parameters of such models changed after compared with before the financial crisis of 2008. But there is also the possibility that the sensitivity of the probability of default, to say behavioural variables, changes over the life of an account.

Keywords: OR in banking; Risk analysis; Risk management; Multivariate statistics; Splines (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:275:y:2019:i:1:p:319-333

DOI: 10.1016/j.ejor.2018.11.029

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