A non-default rate regression model for credit scoring

作者：Barriga Gladys D C; Cancho Vicente G; Louzada Francisco^*

来源：Applied Stochastic Models in Business and Industry, 2015, 31(6): 846-861.

DOI：10.1002/asmb.2112

• non-default fraction models
• inverse Weibull distribution
• geometric distribution
• lifetime

In this paper, we propose a new non-default rate survival model. Our approach enables different underlying activation mechanisms which lead to the event of interest. The number of competing causes, which may be responsible for the occurrence of the event of interest, is assumed to follow a geometric distribution, while the time to event is assumed to follow an inverse Weibull distribution. An advantage of our approach is to accommodate all activation mechanisms based on order statistics. We explore the use of maximum likelihood estimation procedure. Simulation studies are performed and experimental results are illustrated based on a real Brazilian bank personal loan portfolio data.

• 出版日期2015-12