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ISSN Druckformat: 1064-2315
ISSN Online: 2163-9337
Indexed in
Modeling of Credit Risks on the Basis of the Theory of Survival
ABSTRAKT
The basic principles of the theory of survival analysis are described, step by step the construction of models of assessment of the clients by the methods of logistic regression and survival analysis are shown. The following concepts as a function of risk, the Cox proportional risk model and the Kaplan–Meier statistics are introduced. Experimental studies have been carried out, that have shown the expediency of using the proposed models for solving the problems of behavioural scoring, since Cox's proportional risks allow one to include the variables depending on time in a set of regressors. Recommendations for improving the qualities of models are given, as well as the prospects for further application of proportional risk models for other types of financial risks, where it is also necessary to assess the whole group (population) in time, are described.
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