712
Views
40
CrossRef citations to date
0
Altmetric
Part 1: Consumer Credit Risk Modelling

Modelling credit risk of portfolio of consumer loans

&
Pages 411-420 | Received 01 Dec 2007, Accepted 01 Aug 2009, Published online: 21 Dec 2017

References

  • Basel Committee on Banking Supervision (BCBS) (2004). International Convergence of Capital Measurement and Capital of Capital Standards: A revised framework. Bank of International Settlements: Basel.
  • BreslowNECovariance analysis of censored survival dataBiometrics197430899910.2307/2529620
  • CampbellJHilscherJSzilagyiJIn search of distress riskJ Financ2008632899293910.1111/j.1540-6261.2008.01416.x
  • CoxDRRegression models and life-tables (with discussion)J Roy Stat Soc1972B 74187220
  • DuffieDSaitaLWangKMulti-period corporate default prediction with stochastic covariatesJ Financ Econ20078363566510.1016/j.jfineco.2005.10.011
  • EfronBThe efficiency of Cox's likelihood function for censored dataJ Am Stat Ass19777255756510.1080/01621459.1977.10480613
  • Figlewski S, Frydman H, Liang W (2007). Modelling the effect of macroeconomic factors on corporate default and credit rating transitions. Working Paper no. FIN-06-007. NYU Stern School of Business.
  • JarrowRLandoDTurnbullSPricing derivatives on financial securities subject to credit riskJ Financ199750538610.1111/j.1540-6261.1995.tb05167.x
  • KalbfleischJDPrenticeRLThe Statistical Analysis of Failure Time Data1980
  • Lando D (1994). Three essays on contingent claims pricing. PhD thesis, Cornell University, Ithaca, NY.
  • NarainBSurvival analysis and the credit granting decisionCredit Scoring and Credit Control1992109121
  • ShumwayTForecasting bankruptcy more accurately: A simple hazard modelJ Bus200174110112410.1086/209665
  • StepanovaMThomasLCSurvival analysis methods for personal loan dataOper Res20025027728910.1287/opre.50.2.277.426
  • TangLThomasLCThomasSBozzettoJ-FIt's the economy stupid: Modelling financial product purchasesInt J Bank Market200725223810.1108/02652320710722597
  • ThomasLCConsumer Credit Models: Pricing, Profit and Portfolios2009
  • ThomasLCBanasikJCrookJNNot if but when will borrowers defaultJ Opl Res Soc1999501185119010.1057/palgrave.jors.2600851

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.