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Credit risk modeling based on survival analysis with immunes

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2007

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Djaïdja, Abdel-Yazid Karim

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http://nbn-resolving.de/urn:nbn:de:bsz:352-275798
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https://doi.org/10.1016/j.stamet.2006.09.001
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Statistical Methodology. 2007, 4(3), pp. 251-276. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2006.09.001

Zusammenfassung

Statistical modeling of credit risk for retail clients is considered. Due to the lack of detailed updated information about the counterparty, traditional approaches such as Merton’s firm-value model, are not applicable. Moreover, the credit default data for retail clients typically exhibit a very small percentage of default rates. This motivates a statistical model based on survival analysis under extreme censoring for the time-to-default variable. The model incorporates the stochastic nature of default and is based on incomplete information. Consistency and asymptotic normality of maximum likelihood estimates of the parameters characterizing the time-to-default distribution are derived. A criterion for constructing confidence ellipsoids for the parameters is obtained from the asymptotic results. An extended model with explanatory variables is also discussed. The results are illustrated by a data example with 670 mortgages.

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ISO 690BERAN, Jan, Abdel-Yazid Karim DJAÏDJA, 2007. Credit risk modeling based on survival analysis with immunes. In: Statistical Methodology. 2007, 4(3), pp. 251-276. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2006.09.001
BibTex
@article{Beran2007Credi-27579,
  year={2007},
  doi={10.1016/j.stamet.2006.09.001},
  title={Credit risk modeling based on survival analysis with immunes},
  number={3},
  volume={4},
  issn={1572-3127},
  journal={Statistical Methodology},
  pages={251--276},
  author={Beran, Jan and Djaïdja, Abdel-Yazid Karim}
}
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