Using multi-state markov models to identify credit card risk

Production

Daniel Evangelista Régis¹  Rinaldo Artes¹ 

关键词: Credit scoring;    Survival analysis;    Multi-state Markov models;    Credit cards;    Markov processes;   

DOI  :  10.1590/0103-6513.160814

来源: SciELO

【 摘 要 】

Abstract The main interest of this work is to analyze the application of multi-state Markov models to evaluate credit card risk by investigating the characteristics of different state transitions in client-institution relationships over time, thereby generating score models for various purposes. We also used logistic regression models to compare the results with those obtained using multi-state Markov models. The models were applied to an actual database of a Brazilian financial institution. In this application, multi-state Markov models performed better than logistic regression models in predicting default risk, and logistic regression models performed better in predicting cancellation risk.

【 授权许可】

CC BY   
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