scholarly journals An overview of survival analysis with an application in the credit risk environment

ORiON ◽  
2021 ◽  
Vol 36 (2) ◽  
Author(s):  
M Smuts ◽  
JS Allison
Keyword(s):  
Survival Analysis ◽  
Credit Risk ◽  
Risk Environment

Tracking bond indices in an integrated market and credit risk environment

2003 ◽  
Vol 3 (2) ◽  
pp. 117-135 ◽  
Author(s):  
Norbert J Jobst ◽  
Stavros A Zenios
Keyword(s):  
Credit Risk ◽  
Risk Environment ◽  
Bond Indices

scholarly journals Estimating Probability of Default on Peer to Peer Market – Survival Analysis Approach

2017 ◽  
Vol 6 (2) ◽  
pp. 149-167 ◽  
Author(s):  
Andrija Đurović
Keyword(s):  
Survival Analysis ◽  
Credit Risk ◽  
Credit Card ◽  
Peer To Peer ◽  
Survival Period ◽  
Analysis Approach ◽  
Rank Test ◽  
Probability Of Default ◽  
Risk Modelling ◽  
Log Rank Test

Abstract Arguably a cornerstone of credit risk modelling is the probability of default. This article aims is to search for the evidence of relationship between loan characteristics and probability of default on peer-to-peer (P2P) market. In line with that, two loan characteristics are analysed: 1) loan term length and 2) loan purpose. The analysis is conducted using survival analysis approach within the vintage framework. Firstly, 12 months probability of default through the cycle is used to compare riskiness of analysed loan characteristics. Secondly, log-rank test is employed in order to compare complete survival period of cohorts. Findings of the paper suggest that there is clear evidence of relationship between analysed loan characteristics and probability of default. Longer term loans are more risky than the shorter term ones and the least risky loans are those used for credit card payoff.

scholarly journals The process approach to the management of loan portfolios

2009 ◽  
Vol 3 (2) ◽  
pp. 171-188
Author(s):  
Pieter G. Vosloo ◽  
Paul Styger
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Building Blocks ◽  
Basel Ii ◽  
Risk Environment ◽  
Management Framework ◽  
Risk Management Framework ◽  
Loan Portfolios ◽  
Integrated Risk ◽  
Integrated Risk Management

Many factors impacted the credit risk environment in the past decade, the most significant of which were the Basel II Capital Accord requirements. Foremost in the financial industry’s focus was, and still is, the implementation of these requirements and their associated outcomes. In the aftermath of the Basel II implementation, credit risk managers’ focus will return to understanding the portfolio philosophy in managing their credit portfolios. They will be required to adapt an integrated risk management framework, taking into account the interdependence of various building blocks, data fields and model outcomes. This paper develops and proposes a portfolio approach to the management of loan portfolios within an integrated risk management framework. The significance of this approach for the credit portfolio risk management environment and its role in maximising shareholder value are highlighted.

Credit risk modeling based on survival analysis with immunes

2007 ◽  
Vol 4 (3) ◽  
pp. 251-276 ◽  
Author(s):  
Jan Beran ◽  
Abdel-Yazid Karim Djaïdja
Keyword(s):  
Survival Analysis ◽  
Credit Risk ◽  
Risk Modeling ◽  
Credit Risk Modeling

Modeling credit risk in credit unions using survival analysis

2018 ◽  
Vol 36 (3) ◽  
pp. 482-495 ◽  
Author(s):  
M. Kabir Hassan ◽  
Jennifer Brodmann ◽  
Blake Rayfield ◽  
Makeen Huda
Keyword(s):  
Survival Analysis ◽  
Credit Risk ◽  
Failure Time ◽  
Credit Unions ◽  
Credit Union ◽  
Accelerated Failure Time ◽  
Marketing Department ◽  
Content Type ◽  
Aft Model ◽  
Lending Institutions

Purpose The purpose of this paper is to investigate proprietary data from customers of a Southern Louisiana credit union. It analyzes the factors that contribute to an accelerated failure time (AFT) using information from customers’ credit applications as well as information provided in their credit report. Design/methodology/approach This paper investigates the factors that affect credit risk using survival analysis by employing two primary models – the AFT model and the Cox proportional hazard (PH) model. While several studies employ the Cox PH model, few use the AFT model. However, this paper concludes that the AFT model has superior predictive qualities. Findings This paper finds that the factors specific to borrowers and local factors play an important role in the duration of a loan. Practical implications This paper offers an easily interpretable model for determining the duration of a potential borrower. The marketing department of credit unions can then use this information to predict when a customer will default, thus allowing the credit union to intervene in a timely manner to prevent defaults. Further, the credit union can use this information to seek out customers who are less likely to default. Originality/value This study is different from the previous research due to its focus on credit unions, which have distinct characteristics. Compared to similar lending institutions, the charter of the credit union does not allow management to sell off loans to other investors.

Risk for psychotherapy drop-out in survival analysis: The influence of general change mechanisms and symptom severity.

2020 ◽  
Vol 67 (6) ◽  
pp. 712-722
Author(s):  
Sebastian Gmeinwieser ◽  
Kai Sebastian Schneider ◽  
Maximilian Bardo ◽  
Timo Brockmeyer ◽  
York Hagmayer
Keyword(s):  
Survival Analysis ◽  
Symptom Severity ◽  
Drop Out ◽  
General Change ◽  
Change Mechanisms
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