Modelling Time to Default Or Early Repayment as Competing Risks (Modelowanie czasu do zaprzestania splat rat kredytu lub wczesniejszej splaty kredytu jako zdarzen konkurujacych )

Ewa Wycinka ()
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Ewa Wycinka: Katedra Statystyki, Wydzial Zarzadzania, Uniwersytet Gdanski

Problemy Zarzadzania, 2015, vol. 13, issue 55, 146-157

Abstract: Early repayment and default are two basic perils causing credit termination. Who of the borrowers and when are at the risk of both events is important information for the creditor. The article employs some of the estimators of the method of competing risks to model time to default or early repayment. The empirical part of the article consists of the results of the study on the sample of 5000 five-year loans that were observed for 24 months. Probabilities of default and early repayment have been evaluated by means of selected estimators. These estimators are also suitable for distinguishing borrowers with different risks of default.

Keywords: credit scoring; competing risks; survival analysis (search for similar items in EconPapers)
JEL-codes: C24 O16 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:13:i:55:y:2015:p:146-157

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