Santos Silva, JMC and Murteira, JMR (2009) 'Estimation of default probabilities using incomplete contracts data.' Journal of Empirical Finance, 16 (3). pp. 457-465. ISSN 0927-5398
Full text not available from this repository.Abstract
This paper develops a count data model for credit scoring which allows the estimation of default probabilities using incomplete contracts data. The main advantage of the proposed approach is that it permits a more efficient use of the data, including that for the most recent clients. Moreover, because the probability of default is specified as a function of the age of the contract, the model provides some information on the timing of the defaults. The model is based on the beta-binomial distribution, which is found to be particularly adequate for this purpose. A well-known dataset on personal loans is used to illustrate the application of the proposed model.
Item Type: | Article |
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Uncontrolled Keywords: | Beta-binomial distribution Credit scoring Population drift |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 07 Aug 2012 09:47 |
Last Modified: | 06 Jan 2022 14:36 |
URI: | http://repository.essex.ac.uk/id/eprint/3541 |
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