<abstract xmlns="http://www.w3.org/1999/xhtml"><p>One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution’s credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.</p></abstract>

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution’s credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.

Competing Risk Models of Default in the Presence of Early Repayments

Econometrics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Competing Risk Models of Default in the Presence of Early Repayments"}

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The...

Competing Risk Models of Default in the Presence of Early Repayments

Publié en ligne: 26 juin 2019

Pages: 99 - 120

DOI: https://doi.org/10.15611/eada.2019.2.07

Mots clés
Cox model, Fine-Gray model, pseudo-observations, mixture models, vertical modelling

© 2019 Ewa Wycinka, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Competing Risk Models of Default in the Presence of Early Repayments

Publié en ligne: 26 juin 2019

Pages: 99 - 120

DOI: https://doi.org/10.15611/eada.2019.2.07

Mots clésCox model, Fine-Gray model, pseudo-observations, mixture models, vertical modelling

© 2019 Ewa Wycinka, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
Cox model, Fine-Gray model, pseudo-observations, mixture models, vertical modelling