Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models-Reference-Cited by-同舟云学术

Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models

Published:2017-04-27 Issue:1 Volume:37 Page:40-53
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Dirick Lore¹,Bellotti Tony²,Claeskens Gerda¹,Baesens Bart³

Affiliation:

1. ORSTAT, Faculty of Economics and Business and Belgium Leuven Statistics Research Center (LSTAT), KU Leuven, Belgium ()

2. Department of Mathematics, Imperial College, London SW7 2AZ, United Kingdom ()

3. LIRIS, Faculty of Economics and Business and Leuven Statistics Research center (LSTAT), KU Leuven, Belgium School of Management, University of Southampton, United Kingdom ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2016.1260471

Reference37 articles.

1. Repeated assessment of risk factors in survival analysis

2. Generating survival times to simulate Cox proportional hazards models with time‐varying covariates

3. Not if but when will borrowers default

4. Credit scoring with macroeconomic variables using survival analysis

5. Survival Curve for Cancer Patients Following Treatment

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