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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:http://purl.utwente.nl/essays/65049
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