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Journal of the Operational Research Society Volume 65, 2014 - Issue 3: Special Issue: Credit Risk Modelling
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Special Issue Paper

Retail credit stress testing using a discrete hazard model with macroeconomic factors

Tony BellottiImperial CollegeLondonUK
&
Jonathan CrookUniversity of EdinburghEdinburgh, MidlothianUKCorrespondence[email protected]
Pages 340-350 | Received 16 Jan 2012, Accepted 21 Jun 2013, Published online: 21 Dec 2017

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Dimitris Andriosopoulos, Michalis Doumpos, Panos M. Pardalos & Constantin Zopounidis. (2019) Computational approaches and data analytics in financial services: A literature review. Journal of the Operational Research Society 70:10, pages 1581-1599.
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Wenbin Hu & Junzi Zhou. (2019) Joint modeling: an application in behavioural scoring. Journal of the Operational Research Society 70:7, pages 1129-1139.
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Lore Dirick, Gerda Claeskens & Bart Baesens. (2017) Time to default in credit scoring using survival analysis: a benchmark study. Journal of the Operational Research Society 68:6, pages 652-665.
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Jonathan Crook & David Edelman. (2014) Special issue credit risk modelling. Journal of the Operational Research Society 65:3, pages 321-322.
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Articles from other publishers (18)

Hao Wang, Anthony Bellotti, Rong Qu & Ruibin Bai. (2024) Discrete-Time Survival Models with Neural Networks for Age–Period–Cohort Analysis of Credit Risk. Risks 12:2, pages 31.
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Cecilia Bocchio, Jonathan Crook & Galina Andreeva. (2023) The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. International Journal of Forecasting 39:4, pages 1655-1677.
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Chen Huang, Jieli Ding & Yanqin Feng. (2023) A quadratic upper bound algorithm for regression analysis of credit risk under the proportional hazards model with case-cohort data. Statistics and Computing 33:4.
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Victor Medina-Olivares, Raffaella Calabrese, Jonathan Crook & Finn Lindgren. (2023) Joint models for longitudinal and discrete survival data in credit scoring. European Journal of Operational Research 307:3, pages 1457-1473.
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Aimin Li, Zhiyong Li & Anthony Bellotti. (2023) Predicting loss given default of unsecured consumer loans with time-varying survival scores. Pacific-Basin Finance Journal 78, pages 101949.
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Zhiyong Li, Aimin Li, Anthony Bellotti & Xiao Yao. (2023) The profitability of online loans: A competing risks analysis on default and prepayment. European Journal of Operational Research 306:2, pages 968-985.
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Joseph L. Breeden. (2023) Impacts of Drought on Loan Repayment. Journal of Risk and Financial Management 16:2, pages 85.
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Oliver Blümke. (2021) Multiperiod default probability forecasting. Journal of Forecasting 41:4, pages 677-696.
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Zheqi Wang, Jonathan Crook & Galina Andreeva. (2020) Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. European Journal of Operational Research 287:2, pages 725-738.
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José Baltazar, João Reis & Marlene Amorim. (2020) Sustainable economies: Using a macro-economic model to predict how the default rate is affected under economic stress scenarios. Sustainable Futures 2, pages 100011.
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Viani Biatat Djeundje & Jonathan Crook. (2019) Dynamic survival models with varying coefficients for credit risks.. European Journal of Operational Research 275:1, pages 319-333.
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Alexander Agapitov, Irina Lakman, Zoya Maksimenko & Natalia Efimenko. 2019. New Statistical Developments in Data Science. New Statistical Developments in Data Science 347 357 .
Dimitris Nikolaidis, Michael Doumpos & Constantin Zopounidis. 2017. Operational Research in Business and Economics. Operational Research in Business and Economics 145 165 .
Sirong Luo, Xiao Kong & Tingting Nie. (2016) Spline based survival model for credit risk modeling. European Journal of Operational Research 253:3, pages 869-879.
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Yongwoong Lee, Daniel Rösch & Harald Scheule. (2016) Accuracy of mortgage portfolio risk forecasts during financial crises. European Journal of Operational Research 249:2, pages 440-456.
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Mindy Leow & Jonathan Crook. (2016) The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis. European Journal of Operational Research 249:2, pages 457-464.
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Aristotelis Klamargias, Anastasios Petropoulos, Vasileios Siakoulis & Dionysios Mylonas. (2018) A Combined Statistical Framework for Forecasting Default Rates of Greek Financial Institutions’ Credit Portfolios. SSRN Electronic Journal.
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Jimmy Skoglund. (2016) Credit Risk Term-Structures for Lifetime Impairment Forecasting: A Practical Guide. SSRN Electronic Journal.
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