Performance monitoring of credit portfolios using survival analysis

Axel Gandy

International Journal of Forecasting, 2012, vol. 28, issue 1, 139-144

Abstract: We are interested in detecting changes in the performance of a credit portfolio quickly and robustly. The portfolio is dynamic: customers can either default or pay the full amount, and new customers can be taken on. Robust detection means that changing the number of new customers taken on should not lead to either a false or delayed signal. We investigate the performances of monitoring schemes via a simulation study that uses several scenarios. We consider monitoring based on default rates estimated through a gliding window, cumulative sum (CUSUM) charts based on default rates, CUSUM charts based on defaults within a given follow-up time after arrival, and a survival analysis CUSUM chart. We conclude that using a survival analysis approach is preferable to using the other approaches.

Keywords: Monitoring; Robustness; Scenarios; Simulation; Structural change (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:1:p:139-144

DOI: 10.1016/j.ijforecast.2010.08.006

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