Predicting financial activity with evolutionary fuzzy case-based reasoning
Expert Systems with Applications: An International Journal
Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models
Mathematics and Computers in Simulation
Prognostic personal credit risk model considering censored information
Expert Systems with Applications: An International Journal
Modeling consumer acceptance probabilities
Expert Systems with Applications: An International Journal
The evaluation of consumer loans using support vector machines
Expert Systems with Applications: An International Journal
Expert Systems with Applications: An International Journal
Enhancing investment decisions in P2P lending: an investor composition perspective
Proceedings of the 17th ACM SIGKDD international conference on Knowledge discovery and data mining
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Credit scoring is one of the most successful applications of quantitative analysis in business. This paper shows how using survival-analysis tools from reliability and maintenance modeling allows one to build credit-scoring models that assess aspects of profit as well as default. This survival-analysis approach is also finding favor in credit-risk modeling of bond prices. The paper looks at three extensions of Cox's proportional hazards model applied to personal loan data. A new way of coarse-classifying of characteristics using survival-analysis methods is proposed. Also, a number of diagnostic methods to check adequacy of the model fit are tested for suitability with loan data. Finally, including time-by-characteristic interactions is proposed as a way of possible improvement of the model's predictive power.