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

Time to default in credit scoring using survival analysis: a benchmark study
Time to default in credit scoring using survival analysis: a benchmark study
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 hazards 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.
0160-5682
652-665
Dirick, Lore
4c1e2d8f-84ac-4dde-90c7-de28f66666be
Claeskens, Gerda
81df6aa1-7480-456b-b298-82e9c29dde4a
Baesens, Bart
f7c6496b-aa7f-4026-8616-ca61d9e216f0
Dirick, Lore
4c1e2d8f-84ac-4dde-90c7-de28f66666be
Claeskens, Gerda
81df6aa1-7480-456b-b298-82e9c29dde4a
Baesens, Bart
f7c6496b-aa7f-4026-8616-ca61d9e216f0

Dirick, Lore, Claeskens, Gerda and Baesens, Bart (2017) Time to default in credit scoring using survival analysis: a benchmark study. Journal of the Operational Research Society, 68 (6), 652-665. (doi:10.1057/s41274-016-0128-9).

Record type: Article

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 hazards 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.

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Time to default in credit scoring using survival analysis a benchmark study - Accepted Manuscript
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More information

Accepted/In Press date: 13 September 2016
e-pub ahead of print date: 1 December 2016
Published date: 1 June 2017

Identifiers

Local EPrints ID: 425620
URI: http://eprints.soton.ac.uk/id/eprint/425620
ISSN: 0160-5682
PURE UUID: 195b25f3-155a-4106-b16e-7439599e318d
ORCID for Bart Baesens: ORCID iD orcid.org/0000-0002-5831-5668

Catalogue record

Date deposited: 26 Oct 2018 16:30
Last modified: 09 Jan 2022 03:16

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Contributors

Author: Lore Dirick
Author: Gerda Claeskens
Author: Bart Baesens ORCID iD

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