A non-default rate regression model for credit scoring

dc.contributorUniversidade Estadual Paulista (Unesp)
dc.contributorUniversidade de São Paulo (USP)
dc.date.accessioned2018-11-26T15:28:32Z
dc.date.available2018-11-26T15:28:32Z
dc.date.created2018-11-26T15:28:32Z
dc.date.issued2015-11-01
dc.identifierApplied Stochastic Models In Business And Industry. Hoboken: Wiley-blackwell, v. 31, n. 6, p. 846-861, 2015.
dc.identifier1524-1904
dc.identifierhttp://hdl.handle.net/11449/158662
dc.identifier10.1002/asmb.2112
dc.identifierWOS:000368073800008
dc.description.abstractIn 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.
dc.languageeng
dc.publisherWiley-Blackwell
dc.relationApplied Stochastic Models In Business And Industry
dc.relation0,859
dc.rightsAcesso restrito
dc.sourceWeb of Science
dc.subjectnon-default fraction models
dc.subjectinverse Weibull distribution
dc.subjectgeometric distribution
dc.subjectlifetime
dc.titleA non-default rate regression model for credit scoring
dc.typeArtículos de revistas


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