Modeling Time to Default on a Personal Loan Portfolio in Presence of Disproportionate Hazard Rates

@inproceedings{Louzada2014ModelingTT,
  title={Modeling Time to Default on a Personal Loan Portfolio in Presence of Disproportionate Hazard Rates},
  author={Francisco Louzada and Vicente G. Cancho and Mauro R. de Oliveira and Yiqi Bao},
  year={2014}
}
In this paper we consider a parametric Weibull mixture cure model for modeling time to default on a personal loan portfolio in presence of disproportionate hazard rate. The main contribution of this paper is to evidence that mixture cure models are appropriate for non proportional sceneries, which has not been claimed in recent articles that brings survival analysis approach for credit scoring modeling. A straight comparison with well known proportional hazard mixture cure model presented in… CONTINUE READING

Figures and Tables from this paper.

Citations

Publications citing this paper.