Credit scoring with macroeconomic variables using survival analysis Export

@article{2007_BellottiCrook2, abstract = {Survival analysis can be applied to build models for time to default on debt. In this paper, we report an application of survival analysis to model default on a large data set of credit card accounts. We explore the hypothesis that probability of default (PD) is affected by general conditions in the economy over time. These macroeconomic variables (MVs) cannot readily be included in logistic regression models. However, survival analysis provides a framework for their inclusion as time-varying covariates. Various MVs, such as interest rate and unemployment rate, are included in the analysis. We show that inclusion of these indicators improves model fit and affects PD yielding a modest improvement in predictions of default on an independent test set.}, author = {Bellotti, Tony and Crook, Jonathan}, citeulike-article-id = {4083586}, citeulike-linkout-0 = {http://qfrmc.imaa.ic.ac.uk/qfrmc/wkpapers/Credit_scoring_with_macroeconomic_variables_v7.pdf}, citeulike-linkout-1 = {http://www.palgrave-journals.com/jors/journal/vaop/ncurrent/abs/jors2008130a.html}, citeulike-linkout-2 = {http://dx.doi.org/10.1057/jors.2008.130}, comment = {To appear in Journal of the Operational Research Society}, doi = {10.1057/jors.2008.130}, journal = {Journal of the Operational Research Society}, keywords = {analysis, banking, covariates, credit, ed\_crc, macroeconomic, qfrmc, risk, scoring, survival, time-varying, toappear, wp}, posted-at = {2009-02-23 09:19:24}, priority = {0}, title = {{Credit scoring with macroeconomic variables using survival analysis}}, url = {http://dx.doi.org/10.1057/jors.2008.130}, year = {2009} }

TY - JOUR ID - 2007_BellottiCrook2 L3 - citeulike-article-id:4083586 N2 - Survival analysis can be applied to build models for time to default on debt. In this paper, we report an application of survival analysis to model default on a large data set of credit card accounts. We explore the hypothesis that probability of default (PD) is affected by general conditions in the economy over time. These macroeconomic variables (MVs) cannot readily be included in logistic regression models. However, survival analysis provides a framework for their inclusion as time-varying covariates. Various MVs, such as interest rate and unemployment rate, are included in the analysis. We show that inclusion of these indicators improves model fit and affects PD yielding a modest improvement in predictions of default on an independent test set. JF - Journal of the Operational Research Society TI - {Credit scoring with macroeconomic variables using survival analysis} KW - analysis KW - banking KW - covariates KW - credit KW - ed_crc KW - macroeconomic KW - qfrmc KW - risk KW - scoring KW - survival KW - time-varying KW - toappear KW - wp N1 - To appear in Journal of the Operational Research Society AU - Bellotti, Tony AU - Crook, Jonathan PY - 2009/// UR - http://dx.doi.org/10.1057/jors.2008.130 ER -