EconPapers    
Economics at your fingertips  
 

PHAB scores: proportional hazards analysis behavioural scores

M Stepanova () and L C Thomas ()
Additional contact information
M Stepanova: University of Southampton
L C Thomas: University of Southampton

Journal of the Operational Research Society, 2001, vol. 52, issue 9, 1007-1016

Abstract: Abstract Credit scoring is one of the most widely used applications of quantitative analysis in business. Behavioural scoring is a type of credit scoring that is performed on existing customers to assist lenders in decisions like increasing the balance or promoting new products. This paper shows how using survival analysis tools from reliability and maintenance modelling, specifically Cox's proportional hazards regression, allows one to build behavioural scoring models. Their performance is compared with that of logistic regression. Also the advantages of using survival analysis techniques in building scorecards are illustrated by estimating the expected profit from personal loans. This cannot be done using the existing risk behavioural systems.

Keywords: behavioural scoring; proportional hazards regression; risk; banking (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jors.2601189 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jorsoc:v:52:y:2001:i:9:d:10.1057_palgrave.jors.2601189

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/41274

DOI: 10.1057/palgrave.jors.2601189

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald and Jonathan Crook

More articles in Journal of the Operational Research Society from Palgrave Macmillan, The OR Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-19
Handle: RePEc:pal:jorsoc:v:52:y:2001:i:9:d:10.1057_palgrave.jors.2601189