Multihorizon discrete time survival models
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DOI: 10.1080/01605682.2020.1777907
Abstract: The new accounting standards of CECL for the US and IFRS 9 elsewhere require predictions of lifetime losses for loans. The use of roll rates, state transition and “vintage” models has been proposed... read more here.
Keywords: multihorizon discrete; time survival; survival models; discrete time ... See more keywords