Modelling consumer credit risk via survival analysis.

Ricardo Cao; Juan M. Vilar; Andrés Devia

SORT (2009)

  • Volume: 33, Issue: 1, page 3-30
  • ISSN: 1696-2281

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Cao, Ricardo, Vilar, Juan M., and Devia, Andrés. "Modelling consumer credit risk via survival analysis.." SORT 33.1 (2009): 3-30. <http://eudml.org/doc/43039>.

@article{Cao2009,
author = {Cao, Ricardo, Vilar, Juan M., Devia, Andrés},
journal = {SORT},
keywords = {probability of default; Basel II; nonparametric regression; conditional survival function; generalized product-limit estimator},
language = {eng},
number = {1},
pages = {3-30},
title = {Modelling consumer credit risk via survival analysis.},
url = {http://eudml.org/doc/43039},
volume = {33},
year = {2009},
}

TY - JOUR
AU - Cao, Ricardo
AU - Vilar, Juan M.
AU - Devia, Andrés
TI - Modelling consumer credit risk via survival analysis.
JO - SORT
PY - 2009
VL - 33
IS - 1
SP - 3
EP - 30
LA - eng
KW - probability of default; Basel II; nonparametric regression; conditional survival function; generalized product-limit estimator
UR - http://eudml.org/doc/43039
ER -

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