PHAB scores: Proportional hazards analysis behavioural scores

PHAB scores: Proportional hazards analysis behavioural scores

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Article ID: iaor20021254
Country: United Kingdom
Volume: 52
Issue: 9
Start Page Number: 1007
End Page Number: 1016
Publication Date: Sep 2001
Journal: Journal of the Operational Research Society
Authors: ,
Keywords: credit scoring
Abstract:

Credit scoring is one of the most widely used applications of quantitative analysis in business. Behavioural scoring is a type of credit scoring that is performed on existing customers to assist lenders in decision like increasing the balance or promoting new products. This paper shows how using survival analysis tools from reliability and maintenance modelling, specifically Cox's proportional hazards regression, allows one to build behavioural scoring models. Their performance is compared with that of logistic regression. Also the advantages of using survival analysis techniques in building scorecards are illustrated by estimating the expected profit from personal loans. This cannot be done using the existing risk behavioural systems.

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