A1 - Wycinka, Ewa
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - 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
L1 - http://dbc.wroc.pl/Content/70166/Wycinka_Competing_risk_models_of_default.pdf
L2 - http://dbc.wroc.pl/Content/70166
KW - Cox model
KW - Fine-Gray model
KW - pseudo-observations
KW - mixture model
KW - vertical modeling
KW - model Coxa
KW - model Finea-Graya
KW - pseudoobserwacje
KW - modele mieszane
KW - modele wertykalne
ER -
T1 - Competing risk models of default in the presence of early repayments
UR - http://dbc.wroc.pl/dlibra/docmetadata?id=70166