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    • MSc.SS Theses and Dissertations (2017)
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    Predictive modelling in credit risk: a survival analysis case

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    Fulltext thesis (1.682Mb)
    Date
    2017
    Author
    Omoga, Allan Anyona
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    Abstract
    Six survival analysis techniques are accessed by applying the techniques to a dataset consisting of 33,238 active credit facilities from a financial institution operating in Kenya. Namely, the Accelerated Failure Time (AFT) Models, Cox proportional hazard (PH) Model and the Mixture Cure Model (MCM) are considered in the comparisons. Evaluation of the techniques is conducted from a Statistical approach evaluation using the Area under the Curve (AUC) and financial evaluation using the annuity theory. The Cox Proportional Hazard (PH) and the Mixture cure model performs significantly well.
    URI
    http://hdl.handle.net/11071/5622
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    • MSc.SS Theses and Dissertations (2017) [4]

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