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Forecasting and stress testing credit card default using dynamic models
2013
International Journal of Forecasting
Typically models of credit card default are built on static data, often collected at time of application. We consider alternative models that also include behavioural data about credit card holders and macroeconomic conditions across the credit card lifetime, using a discrete survival analysis framework. We find that dynamic models that include these behavioural and macroeconomic variables give statistically significant improvements in model fit which translates into better forecasts of default
doi:10.1016/j.ijforecast.2013.04.003
fatcat:x6x6lococzd2xfa4iq3ohkuaz4