Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.
(2016).Credit risk analytics: Measurement techniques, applications, and examples in SAS
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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.