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Quantitative Finance Volume 21, 2021 - Issue 9
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Research Papers

A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects

Halina Frydman† Department of Technology, Operations and Statistics, New York University Stern School of Business, 44 West 4th St, New York, NY10012, USACorrespondence[email protected]
,
Anna Matuszyk‡ Warsaw School of Economics, Institute of Finance, Warszawa, Poland
,
Chang Li§ Operations Research and Financial Engineering Department, Princeton University, Princeton, NJ, USA
&
Weicheng Zhu¶ Courant Institute of Mathematical Sciences, New York University, New York, NY, USA
Pages 1491-1499 | Received 15 Jun 2020, Accepted 26 Mar 2021, Published online: 15 Jun 2021

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