University of Twente Student Theses
Survival analysis in credit scoring: A framework for PD estimation
Man, Ramon (2014) Survival analysis in credit scoring: A framework for PD estimation.
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| Abstract: | In this thesis the development of a new framework for estimating PD using survival analysis is described. Survival analysis is recently introced into credit scoring and offers advantages compared to the currenly used logistic regression. First the framework and new procedures are described. Next the survival model is compared to the current logistic regression. |
| Item Type: | Essay (Master) |
| Clients: | Rabobank International, Utrecht, Nederlands |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 83 economics |
| Programme: | Industrial Engineering and Management MSc (60029) |
| Link to this item: | https://purl.utwente.nl/essays/65049 |
| Export this item as: | BibTeX EndNote HTML Citation Reference Manager |
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