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

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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
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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