Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.
B.(2016).Classification methodsappliedtocreditscoring:Systematic review and overall comparison.Surveys in Operations Research and Management Science,21(2), 117–134
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Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework
Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.