Related papers: Recovery Risk: Application of the Latent Competing…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
Networked-guarantee loans may cause the systemic risk related concern of the government and banks in China. The prediction of default of enterprise loans is a typical extremely imbalanced prediction problem, and the networked-guarantee make…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
Competing risk data appear widely in modern biomedical research. Cause-specific hazard models are often used to deal with competing risk data in the past two decades. There is no current study on the kernel likelihood method for the…
A controversy involving loan loss provisions in banks concerns their relationship with the business cycle. While international accounting standards for recognizing provisions (incurred loss model) would presumably be pro-cyclical,…
The analysis and planning methods for competing risks model have been described in the literatures in recent decades, and non-inferiority clinical trials are helpful in current pharmaceutical practice. Analytical methods for non-inferiority…
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum…
We study financial networks where banks are connected through bilateral liabilities and may default when resources are insufficient to meet obligations. We consider both the standard proportional clearing model and a priority-proportional…
Credit risk assessment of a company is commonly conducted by utilizing financial ratios that are derived from its financial statements. However, this approach may not fully encompass other significant aspects of a company. We propose the…
In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely,…
In this paper, we extend the vertical modeling approach for the analysis of survival data with competing risks to incorporate a cured fraction in the population, that is, a proportion of the population for which none of the competing events…
Semi-competing risks refers to the survival analysis setting where the occurrence of a non-terminal event is subject to whether a terminal event has occurred, but not vice versa. Semi-competing risks arise in a broad range of clinical…
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure,…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
When modelling competing risks survival data, several techniques have been proposed in both the statistical and machine learning literature. State-of-the-art methods have extended classical approaches with more flexible assumptions that can…
Competing risks models for a repairable system subject to several failure modes are discussed. Under minimal repair, it is assumed that each failure mode has a power law intensity. An orthogonal reparametrization is used to obtain an…
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…
Credit scoring is an essential tool used by global financial institutions and credit lenders for financial decision making. In this paper, we introduce a new method based on Gaussian Mixture Model (GMM) to forecast the probability of…
When plaintiffs prevail in a discrimination case, a major component of the calculation of economic loss is the length of time they would have been in the higher position had they been treated fairly during the period in which the employer…
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is…