Survival Analysis Methods for Personal Loan Data

@article{Stepanova2002SurvivalAM,
  title={Survival Analysis Methods for Personal Loan Data},
  author={Maria Stepanova and Lyn C. Thomas},
  journal={Operations Research},
  year={2002},
  volume={50},
  pages={277-289}
}
Credit scoring is one of the most successful applications of quantitative analysis in business. This paper shows how using survival-analysis tools from reliability and maintenance modeling allows one to build credit-scoring models that assess aspects of profit as well as default. This survival-analysis approach is also finding favor in credit-risk modeling of bond prices. The paper looks at three extensions of Cox's proportional hazards model applied to personal loan data. A new way of coarse… CONTINUE READING

Topics from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 93 CITATIONS

Predicting credit risk in Peer-to-Peer lending with survival analysis

  • 2017 IEEE Symposium Series on Computational Intelligence (SSCI)
  • 2017
VIEW 8 EXCERPTS
HIGHLY INFLUENCED

A time-dependent proportional hazards survival model for credit risk analysis

VIEW 8 EXCERPTS
CITES BACKGROUND, METHODS & RESULTS
HIGHLY INFLUENCED

Mixture cure models in credit scoring: If and when borrowers default

  • European Journal of Operational Research
  • 2012
VIEW 5 EXCERPTS
CITES BACKGROUND & METHODS

Survival analysis in credit scoring A framework for PD estimation R

VIEW 3 EXCERPTS
CITES RESULTS & BACKGROUND
HIGHLY INFLUENCED

Modelling profitability using survival combination scores

  • European Journal of Operational Research
  • 2007
VIEW 4 EXCERPTS
CITES METHODS
HIGHLY INFLUENCED

Risk Analysis for Large Pools of Loans

  • Management Science
  • 2019
VIEW 1 EXCERPT
CITES METHODS

FILTER CITATIONS BY YEAR

2003
2019

CITATION STATISTICS

  • 6 Highly Influenced Citations