Survival analysis of bank loans in the presence of long-term survivors
Date
2017-04
Authors
Marimo, M
Chimedza, C
Journal Title
Journal ISSN
Volume Title
Publisher
South African Statistical Association
Abstract
In this paper we model competing risks, default and early settlement events, in the presence of long term survivors and compare survival and logistic methodologies. Cause specific Cox regression models were fitted and adjustments were made to accommodate a proportion of long term survivors. Methodologies were compared using ROC curves and area under the curves. The results show that survival methods perform better than logistic regression methods when modelling lifetime data in the presence of competing risks and in the presence of long term survivors.
Description
Keywords
Cause specific, Competing risk, Consumer credit, Proportional hazards
Citation
DHET SOUTH AFRICAN LIST (JANUARY 2017)