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Credit scoring with macroeconomic variables using survival analysis
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Credit scoring with macroeconomic variables using survival analysis
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Journal Article
Credit scoring with macroeconomic variables using survival analysis
2009
Overview
Survival analysis can be applied to build models for time to default on debt. In this paper, we report an application of survival analysis to model default on a large data set of credit card accounts. We explore the hypothesis that probability of default (PD) is affected by general conditions in the economy over time. These macroeconomic variables (MVs) cannot readily be included in logistic regression models. However, survival analysis provides a framework for their inclusion as time-varying covariates. Various MVs, such as interest rate and unemployment rate, are included in the analysis. We show that inclusion of these indicators improves model fit and affects PD yielding a modest improvement in predictions of default on an independent test set.
Publisher
Taylor & Francis,Palgrave Macmillan,Palgrave Macmillan UK,Taylor & Francis Ltd
Subject
/ banking
/ Credit
/ Decision theory. Utility theory
/ Default
/ Exact sciences and technology
/ Modeling
/ Operational research and scientific management
/ Operational research. Management science
/ Operations Research/Decision Theory
/ Reliability, life testing, quality control
/ risk
/ Sciences and techniques of general use
/ Studies
