Skip navigation
User training | Reference and search service

Library catalog

Retrievo
EDS
b-on
More
resources
Content aggregators
Please use this identifier to cite or link to this item:

acessibilidade

http://hdl.handle.net/10071/9389
acessibilidade
Title: Survival mixture models in behavioral scoring
Authors: Alves, B. C.
Dias, J. G.
Keywords: Credit risk
Behavioral scoring
Survival analysis
Mixture models
Issue Date: 2015
Publisher: Pergamon/Elsevier
Abstract: This paper introduces a general framework of survival mixture models (SMMs) that addresses the unobserved heterogeneity of the credit risk of a financial institution's clients. This new behavioral scoring framework contains the specific cases of aggregate and immune fraction models. This general methodology identifies clusters or groups of clients with different risk patterns. The parameters of the model can be explained by independent variables in a regression setting. The application shows the different risk trajectories of clients. Specifically, the time between the first delayed payment and default was best modeled by a three-segment log-normal mixture distribution and a multinomial logit link function. Each segment contains clients with similar risk profiles. The model predicts the most likely risk segment for each new client.
Peer reviewed: yes
URI: http://hdl.handle.net/10071/9389
DOI: 10.1016/j.eswa.2014.12.036
ISSN: 0957-4174
Ciência-IUL: https://ciencia.iscte-iul.pt/id/ci-pub-23815
Accession number: WOS:000356904100008
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Files in This Item:
acessibilidade
File Description SizeFormat 
Expert_Systems_with_Applications.pdfVersão Editora852.9 kBAdobe PDFView/Open    Request a copy


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.