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Credit risk modeling based on survival analysis with immunes


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BERAN, Jan, Abdel-Yazid Karim DJAÏDJA, 2007. Credit risk modeling based on survival analysis with immunes. In: Statistical Methodology. 4(3), pp. 251-276. ISSN 1572-3127. Available under: doi: 10.1016/j.stamet.2006.09.001

@article{Beran2007Credi-27579, title={Credit risk modeling based on survival analysis with immunes}, year={2007}, doi={10.1016/j.stamet.2006.09.001}, number={3}, volume={4}, issn={1572-3127}, journal={Statistical Methodology}, pages={251--276}, author={Beran, Jan and Djaïdja, Abdel-Yazid Karim} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:available rdf:datatype="">2014-04-16T08:12:31Z</dcterms:available> <dc:language>eng</dc:language> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:issued>2007</dcterms:issued> <dc:creator>Beran, Jan</dc:creator> <dc:creator>Djaïdja, Abdel-Yazid Karim</dc:creator> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dcterms:title>Credit risk modeling based on survival analysis with immunes</dcterms:title> <dc:rights>terms-of-use</dc:rights> <dcterms:rights rdf:resource=""/> <dc:contributor>Beran, Jan</dc:contributor> <dspace:isPartOfCollection rdf:resource=""/> <dc:date rdf:datatype="">2014-04-16T08:12:31Z</dc:date> <bibo:uri rdf:resource=""/> <dcterms:isPartOf rdf:resource=""/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:contributor>Djaïdja, Abdel-Yazid Karim</dc:contributor> <dcterms:bibliographicCitation>Statistical Methodology ; 4 (2007), 3. - S. 251-276</dcterms:bibliographicCitation> </rdf:Description> </rdf:RDF>

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