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Lifetime probability of default using survival tree-based models
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Vieira Costa, Joao Paulo, Atreio Portela, Cayan, Kimura, Hebert, Ladeira, Marcelo and Barros Diniz, Frederico (2022) Lifetime probability of default using survival tree-based models. In: 2022 17th Iberian Conference on Information Systems and Technologies (CISTI), Madrid, Spain, 22-25 Jun 2022. Published in: 2022 17th Iberian Conference on Information Systems and Technologies (CISTI) ISBN 9789893334362. doi:10.23919/cisti54924.2022.9820571
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Official URL: https://doi.org/10.23919/cisti54924.2022.9820571
Abstract
Considering the need for the IFRS 9 accounting standard to estimate the loss of credit, for financial assets that presented a significant increase in risk, throughout the entire period until the maturity of a credit operation, the survival analysis models become techniques useful for modeling the Probability of Default. In this work, with the objective ofevaluating the performance of tree-based survival analysis models for this purpose, PD was examined from different methodological approaches, more particularly, exploring different machine learning algorithms for this type of approach. A credit card refinancing dataset was used, and results from twotree-based survival analysis tools, Survival Tree and Random Survival Forest, were compared against the usual algorithm based on Cox Proportional Hazards Regression and classification models. The results show that Survival Analysis techniques with tree-based models are good alternatives to traditional survival analysis methods used for PD modeling.
Item Type: | Conference Item (Paper) | ||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
SWORD Depositor: | Library Publications Router | ||||
Journal or Publication Title: | 2022 17th Iberian Conference on Information Systems and Technologies (CISTI) | ||||
Publisher: | IEEE | ||||
ISBN: | 9789893334362 | ||||
Official Date: | 22 June 2022 | ||||
Dates: |
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DOI: | 10.23919/cisti54924.2022.9820571 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Reuse Statement (publisher, data, author rights): | no creator id for Barros Diniz | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | 2022 17th Iberian Conference on Information Systems and Technologies (CISTI) | ||||
Type of Event: | Conference | ||||
Location of Event: | Madrid, Spain | ||||
Date(s) of Event: | 22-25 Jun 2022 |
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