Identifying future defaulters: A hierarchical Bayesian method

European Journal of Operational Research

Volumn 241, Issue 1, 2015, Pages 202-211

  Liu, Fan ^a,b   Hua, Zhongsheng ^a   Lim, Andrew ^b  

^a UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Bayesian analysis; Credit scoring; Mixture cure model; Risk management

Indexed keywords

BAYESIAN NETWORKS; CURING; MARKOV PROCESSES; MONTE CARLO METHODS; PROBABILITY DISTRIBUTIONS; RISK ASSESSMENT; RISK MANAGEMENT;

AUGMENTATION TECHNIQUES; BAYESIAN ANALYSIS; CREDIT SCORING; EXPONENTIAL DISTRIBUTIONS; HIERARCHICAL BAYESIAN; INDEPENDENCE ASSUMPTION; MARKOV CHAIN MONTE CARLO METHOD; MIXTURE CURE MODEL;

MIXTURES;

EID: 85027949563     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2014.08.008     Document Type: Article

References (27)

1. M. Abe Counting your customers one by one: A hierarchical Bayes extension to the Pareto/NBD model Marketing Science 28 2009 541 553
2. A. Altuzarra, J.M. Moreno-Jimenez, and M. Salvador A Bayesian prioritization procedure for AHP-group decision making European Journal of Operational Research 182 1 2007 367 382
3. G. Andreeva, J. Ansell, and J. Crook Modelling profitability using survival combination scores European Journal of Operational Research 183 2007 1537 1549
4. B. Baesens, T.V. Gestel, M. Stepanova, and J. Vanthienen Neural network survival analysis for personal loan data Journal of the Operational Research Society 56 2005 1089 1098
5. J. Banasik, J.N. Crook, and L.C. Thomas Not if but when will borrowers default Journal of the Operational Research Society 50 1999 1185 1190
6. T. Bellotti, and J. Crook Credit scoring with macroeconomic variables using survival analysis Journal of the Operational Research Society 60 2009 1699 1707
7. F. Corbire, and P. Joly A SAS macro for parametric and semiparametric mixture cure models Computer Methods and Programs in Biomedicine 85 2 2007 173 180
8. D.R. Cox Regression models and life-tables Journal of the Royal Statistical Society. Series B (Methodological) 34 2009 187 220
9. J.N. Crook, D.B. Edelman, and L.C. Thomas Recent developments in consumer credit risk assessment European Journal of Operational Research 183 2007 1447 1465
10. Dirick, L., Claeskens, G., & Baesens, B. (2013). A new approach for variable selection in mixture cure models for prediction time of default. In Proceedings of the Credit Scoring and Credit Control XIII conference. Credit Scoring and Credit Control XIII conference. Edinburgh, UK, 28-30 August 2013.
11. S. Finlay Credit scoring, response modelling and insurance rating: A practical guide to forecasting consumer behaviour 2010 Palgrave Macmillan UK
12. A. Gelman, J.B. Carlin, H.S. Stern, and D.B. Rubin Bayesian data analysis 1995 Chapman and Hall Boca Raton, FL
13. J. Geweke Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments J.M. Bernardo, J.M. Berger, A.P. Dawid, A.F.M. Smith, Bayesian statistics Vol. 4 1992 Oxford University Press Oxford 169 193
14. D.J. Hand, and W.E. Henley Statistical classification methods in consumer credit scoring: A review Journal of the Royal Statistical Society: Series A (Statistics in Society) 160 1997 523 541
15. D.J. Hand, and M.G. Kelly Lookahead scorecards for new fixed term credit products Journal of the Operational Research Society 52 2001 989 996
16. J.A. Hanley, and B.J. McNeil The meaning and use of the area under a receiver operating characteristic (ROC) curve Radiology 143 1 1982 29 36
17. J.K. Im, D.W. Apley, C. Qi, and X. Shan A time-dependent proportional hazards survival model for credit risk analysis Journal of the Operational Research Society 56 2012 306 321
18. W.K. Pang, P.K. Leung, W.K. Huang, and W. Liu On interval estimation of the coefficient of variation for the three-parameter Weibull, lognormal and gamma distribution: A simulation-based approach European Journal of Operational Research 164 2 2005 367 377
19. Y. Peng Estimating baseline distribution in proportional hazards cure models Biometrics 42 2003 187 201
20. Y. Peng, and K.B.G. Dear A nonparametric mixture model for cure rate estimation Biometrics 56 1 2000 237 243
21. E. Rosenberg, and A. Gleit Quantitative methods in credit management: A survey Operations Research 42 1994 589 613
22. M. Stepanova, and L. Thomas Survival analysis methods for personal loan data Operations Research 50 2002 277 289
23. J.P. Sy, and J.M.G. Taylor Estimation in a Cox proportional hazards cure model Biometrics 56 2000 227 236
24. M.A. Tanner, and W.H. Wong The calculation of posterior distribution for customer relationship management Marketing Science 25 1987 594 597
25. E. Tong, C. Mues, and L.C. Thomas Mixture cure models in credit scoring: If and when borrowers default European Journal of Operational Research 218 2012 132 139
26. L.G.C. Velarde, H.S. Migon, and D.A. Alcoforado Hierarchical Bayesian models applied to air surveillance radars European Journal of Operational Research 184 3 2008 1155 1162
27. Y. Yildirim Estimating default probabilities of CMBS loans with clustering and heavy censoring Journal of Real Estate Finance and Economics 37 2008 93 111