Credit scoring with macroeconomic variables using survival analysis

被引：143

作者：

Bellotti, T. ^{[1
]}

Crook, J. ^{[1
]}

机构：

[1] Univ Edinburgh, Credit Res Ctr, Management Sch & Econ, Edinburgh EH89JY, Lothian, Scotland

来源：

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 2009年 / 60卷 / 12期

基金：

英国工程与自然科学研究理事会;

关键词：

credit scoring; survival analysis; time-varying covariates; risk; banking; macroeconomic variables;

D O I：

10.1057/jors.2008.130

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. Journal of the Operational Research Society (2009) 60, 1699-1707. doi:10.1057/jors.2008.130 Published online 10 December 2008

引用

页码：1699 / 1707

页数：9

共 27 条

[11] Understanding interaction models: Improving empirical analyses [J].

Brambor, T ;

Clark, WR ;

Golder, M .

POLITICAL ANALYSIS, 2006, 14 (01) :63-82

[12]

BUREZ J, 2008, 2008517 U GENT FAC E

[13] Predictive survival model with time-dependent prognostic factors: development of computer-aided SAS Macro program [J].

Chen, LS ;

Yen, MF ;

Wu, HM ;

Liao, CS ;

Liou, DM ;

Kuo, HS ;

Chen, THH .

JOURNAL OF EVALUATION IN CLINICAL PRACTICE, 2005, 11 (02) :181-193

[14]

Collett D, 1994, MODELLING SURVIVAL D

[15]

CROOK J, 2005, 0503 U ED CRED RES C

[16]

CROOK J, 2007, 0502 U ED CRED RES C

[17]

Crook Jonathan., 2001, APPL FINANCIAL EC, V11, P83, DOI DOI 10.1080/09603100150210291

[18]

Efron B., 1993, INTRO BOOTSTRAP, DOI 10.1007/978-1-4899-4541-9

[19]

FRIEDMAN M, 1955, THEORY CONSUMPTION F

[20] Good practice in retail credit scorecard assessment [J].

Hand, DJ .

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2005, 56 (09) :1109-1117

← 1 2 3 →