Title: Time to default in credit scoring using survival analysis: a benchmark study
Authors: Dirick, Lore ×
Claeskens, Gerda
Baesens, Bart #
Issue Date: 2016
Publisher: Published by Pergamon Press for Operational Research Society
Series Title: Journal of the Operational Research Society vol:accepted
Abstract: We investigate the performance of various survival analysis techniques applied to ten actual credit data sets from Belgian and UK financial institutions. In the comparison we
consider classical survival analysis techniques, namely the accelerated failure time models and Cox proportional hazards regression models, as well as Cox proportional hazard regression models with splines in the hazard function. Mixture cure models for single and multiple events were more recently introduced in the credit risk context. The performance of these models is evaluated using both a statistical evaluation and an economic approach
through the use of annuity theory. It is found that spline-based methods and the single event mixture cure model perform well in the credit risk context.
ISSN: 0160-5682
Publication status: accepted
KU Leuven publication type: IT
Appears in Collections:Research Center for Management Informatics (LIRIS), Leuven
Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
Benchmark_paper_JORS_2101.pdfTime to default in credit scoring using survival analysis: a benchmark study Accepted 180KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.