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Jonathan Crook
Information about the author Jonathan Crook will soon be added to the site.
Found
6 papers
in total
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The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis
2016
Using a large portfolio of credit card loans observed between 2002 and 2011 provided...
A new Mixture model for the estimation of credit card Exposure at Default
2016
Using a large portfolio of historical observations on defaulted loans, we estimate...
Chinese companies distress prediction: an application of data envelopment analysis
2014
Bankruptcy prediction is a key part in corporate credit risk management. Traditional...
Retail credit stress testing using a discrete hazard model with macroeconomic factors
2014
Retail credit models are implemented using discrete survival analysis, enabling...
Loss given default models incorporating macroeconomic variables for credit cards
2012
Based on UK data for major retail credit cards, we build several models of Loss Given...
Forecasting and explaining aggregate consumer credit delinquency behaviour
2012
We model aggregate delinquency behaviour for consumer credit (including credit card...
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