Macro-economic factors in credit risk calculations: including time-varying covariates in mixture cure models KU Leuven
The prediction of the time of default in a credit risk setting via survival analysis needs to take a high censoring rate into account. This rate is due to the fact that default does not occur for the majority of debtors. Mixture cure models allow the part of the loan population that is unsusceptible to default to be modelled, distinct from time of default for the susceptible population. In this paper, we extend the mixture cure model to include ...