کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1151168 958198 2007 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit risk modeling based on survival analysis with immunes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Credit risk modeling based on survival analysis with immunes
چکیده انگلیسی

Statistical modeling of credit risk for retail clients is considered. Due to the lack of detailed updated information about the counterparty, traditional approaches such as Merton’s firm-value model, are not applicable. Moreover, the credit default data for retail clients typically exhibit a very small percentage of default rates. This motivates a statistical model based on survival analysis under extreme censoring for the time-to-default variable. The model incorporates the stochastic nature of default and is based on incomplete information. Consistency and asymptotic normality of maximum likelihood estimates of the parameters characterizing the time-to-default distribution are derived. A criterion for constructing confidence ellipsoids for the parameters is obtained from the asymptotic results. An extended model with explanatory variables is also discussed. The results are illustrated by a data example with 670 mortgages.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistical Methodology - Volume 4, Issue 3, July 2007, Pages 251–276
نویسندگان
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