A non-default rate regression model for credit scoring
| dc.contributor.author | Barriga, Gladys D. C. [UNESP] | |
| dc.contributor.author | Cancho, Vicente G. | |
| dc.contributor.author | Louzada, Francisco | |
| dc.contributor.institution | Universidade Estadual Paulista (Unesp) | |
| dc.contributor.institution | Universidade de São Paulo (USP) | |
| dc.date.accessioned | 2018-11-26T15:28:32Z | |
| dc.date.available | 2018-11-26T15:28:32Z | |
| dc.date.issued | 2015-11-01 | |
| dc.description.abstract | In this paper, we propose a new non-default rate survival model. Our approach enables different underlying activation mechanisms which lead to the event of interest. The number of competing causes, which may be responsible for the occurrence of the event of interest, is assumed to follow a geometric distribution, while the time to event is assumed to follow an inverse Weibull distribution. An advantage of our approach is to accommodate all activation mechanisms based on order statistics. We explore the use of maximum likelihood estimation procedure. Simulation studies are performed and experimental results are illustrated based on a real Brazilian bank personal loan portfolio data. Copyright (c) 2015 John Wiley & Sons, Ltd. | en |
| dc.description.affiliation | Univ Estadual Paulista Julio De Mesquita Filho FE, BR-17033360 Bauru, SP, Brazil | |
| dc.description.affiliation | Univ Sao Paulo, Inst Ciencias Matemat & Comp, BR-13566590 Sao Carlos, SP, Brazil | |
| dc.description.affiliationUnesp | Univ Estadual Paulista Julio De Mesquita Filho FE, BR-17033360 Bauru, SP, Brazil | |
| dc.description.sponsorship | Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) | |
| dc.description.sponsorship | Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) | |
| dc.format.extent | 846-861 | |
| dc.identifier | http://dx.doi.org/10.1002/asmb.2112 | |
| dc.identifier.citation | Applied Stochastic Models In Business And Industry. Hoboken: Wiley-blackwell, v. 31, n. 6, p. 846-861, 2015. | |
| dc.identifier.doi | 10.1002/asmb.2112 | |
| dc.identifier.issn | 1524-1904 | |
| dc.identifier.uri | http://hdl.handle.net/11449/158662 | |
| dc.identifier.wos | WOS:000368073800008 | |
| dc.language.iso | eng | |
| dc.publisher | Wiley-Blackwell | |
| dc.relation.ispartof | Applied Stochastic Models In Business And Industry | |
| dc.relation.ispartofsjr | 0,859 | |
| dc.rights.accessRights | Acesso restrito | |
| dc.source | Web of Science | |
| dc.subject | non-default fraction models | |
| dc.subject | inverse Weibull distribution | |
| dc.subject | geometric distribution | |
| dc.subject | lifetime | |
| dc.title | A non-default rate regression model for credit scoring | en |
| dc.type | Artigo | |
| dcterms.license | http://olabout.wiley.com/WileyCDA/Section/id-406071.html | |
| dcterms.rightsHolder | Wiley-Blackwell | |
| unesp.author.orcid | 0000-0001-7815-9554[3] |