The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages-Reference-Cited by-同舟云学术

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The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages

Published:2022-09 Issue: Volume: Page:
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Bocchio Cecilia^ORCID,Crook Jonathan,Andreeva Galina

Publisher

Elsevier BV

Subject

Business and International Management

Reference51 articles.

1. Survival and event history analysis: a process point of view;Aalen,2008

2. An empirical transition matrix for non-homogeneous Markov chains based on censored observations;Aalen;Scandinavian Journal of Statistics,1978

3. Modelling recurrent events: a tutorial for analysis in epidemiology;Amorim;International Journal of Epidemiology,2015

4. Statistical models based on counting processes;Andersen,1993

5. Cox’s regression model for counting processes: a large sample study;Andersen;The Annals of Statistics,1982

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1. Stabilizing machine learning models with Age-Period-Cohort inputs for scoring and stress testing;Frontiers in Applied Mathematics and Statistics;2023-06-08

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