4. Modelling Survival Data in Medical Research

Benchmarking state-of-the-art classification algorithms for credit scoring: An update of research

Survival Analysis: Techniques for Censored and Truncated Data

Short term load forecasting based on phase space reconstruction algorithm and bi-square kernel regression model

We investigate the performance of various survival analysis techniques applied to ten actual credit data sets from Belgian and UK financial institutions. In the comparison we consider classical survival analysis techniques, namely the accelerated failure time models and Cox proportional hazards regression models, as well as Cox proportional hazards regression models with splines in the hazard function. Mixture cure models for single and multiple events were more recently introduced in the credit risk context. The performance of these models is evaluated using both a statistical evaluation and an economic approach through the use of annuity theory. It is found that spline-based methods and the single event mixture cure model perform well in the credit risk context.

/pdf/time-to-default-in-credit-scoring-using-survival-analysis-a-3s4eh963er.pdf

Time to default in credit scoring using survival analysis: a benchmark study

An Akaike information criterion for multiple event mixture cure models

The prediction of the time of default in a credit risk setting via survival analysis needs to take a high censoring rate into account. This rate is because default does not occur for the majority of debtors. Mixture cure models allow the part of the loan population that is unsusceptible to default to be modeled, distinct from time of default for the susceptible population. In this article, we extend the mixture cure model to include time-varying covariates. We illustrate the method via simulations and by incorporating macro-economic factors as predictors for an actual bank dataset.

/pdf/macro-economic-factors-in-credit-risk-calculations-including-2kgednudjv.pdf

Lore Dirick

Papers

Time to default in credit scoring using survival analysis: a benchmark study

An Akaike information criterion for multiple event mixture cure models

Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models

A hierarchical mixture cure model with unobserved heterogeneity for credit risk

Modeling unobserved heterogeneity in mixture cure models