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Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction
We derive a model for consumer loan default and credit card expenditure. The default model is based on statistical models for discrete choice, in contrast to the usual procedure of linear discriminant analysis. The model is then extended to incorporate the default probability in a model of expected profit. The technique is applied to a large sample of applications and expenditure from a major credit card company. The nature of the data mandates the use of models of sample selection fordoi:10.1017/cbo9780511754197.002 fatcat:vabmpddeizgydn73iaqhcpn4xi