Identifying future defaulters: A hierarchical Bayesian method

Traditional methods of applying classification models into the area of credit scoring may ignore the effect from censoring. Survival analysis has been introduced with its ability to deal with censored data. The mixture cure model, one important branch of survival models, is also applied in the context of credit scoring, assuming that the study population is a mixture of never-default and will-default customers.

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Year of publication:	2015
Authors:	Liu, Fan ; Hua, Zhongsheng ; Lim, Andrew
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 241.2015, 1, p. 202-211
Publisher:	Elsevier
Subject:	Risk management \| Credit scoring \| Mixture cure model \| Bayesian analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010939775