PHAB scores: proportional hazards analysis behavioural scores
PHAB scores: proportional hazards analysis behavioural scores
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.
behavioural scoring, proportional hazards regression, risk, banking
1007-1016
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Stepanova, M.
11a1bef1-9fe4-46d2-8b99-94391ebffe50
2001
Thomas, L.C.
a3ce3068-328b-4bce-889f-965b0b9d2362
Stepanova, M.
11a1bef1-9fe4-46d2-8b99-94391ebffe50
Thomas, L.C. and Stepanova, M.
(2001)
PHAB scores: proportional hazards analysis behavioural scores.
Journal of the Operational Research Society, 52 (9), .
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.
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Published date: 2001
Keywords:
behavioural scoring, proportional hazards regression, risk, banking
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Local EPrints ID: 35749
URI: http://eprints.soton.ac.uk/id/eprint/35749
ISSN: 0160-5682
PURE UUID: a611c3ba-fb64-4d22-b783-5a8f37a346c3
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Date deposited: 22 May 2006
Last modified: 08 Jan 2022 06:57
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Author:
L.C. Thomas
Author:
M. Stepanova
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