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An overview and framework for PD backtesting and benchmarking

Castermans, G.; Martens, David; Van Gestel, Tony; Hamers, B. - In: Journal of the Operational Research Society : OR 61 (2010) 3, pp. 359-373

Persistent link: https://www.econbiz.de/10003945429

Benchmarking regression algorithms for loss given default modeling

Loterman, Gert; Brown, Iain; Martens, David; Mues, … - In: International journal of forecasting 28 (2012) 1, pp. 161-170

Persistent link: https://www.econbiz.de/10009581995

Benchmarking state-of-the-art classification algorithms for credit scoring : an update of research

Lessmann, Stefan; Baesens, Bart; Seow, Hsin-Vonn; … - In: European journal of operational research : EJOR 247 (2015) 1, pp. 124-136

Persistent link: https://www.econbiz.de/10011347117

Time to Default in Credit Scoring Using Survival Analysis : A Benchmark Study

Dirick, Lore - 2015

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...

Persistent link: https://www.econbiz.de/10013015088

Time to default in credit scoring using survival analysis : a benchmark study

Dirick, Lore; Claeskens, Gerda; Baesens, Bart - 2015

Persistent link: https://www.econbiz.de/10011675281

Time to default in credit scoring using survival analysis : a benchmark study

Dirick, Lore; Claeskens, Gerda; Baesens, Bart - In: Journal of the Operational Research Society : OR 68 (2017) 6, pp. 652-665

Persistent link: https://www.econbiz.de/10011656882