Discrete-Time Survival Models with Neural Networks for Age-Period-Cohort Analysis of Credit Risk
(2024)
Preprint / Working Paper
Wang, H., Bellotti, A. G., Qu, R., & Bai, R. (2024). Discrete-Time Survival Models with Neural Networks for Age-Period-Cohort Analysis of Credit Risk
Survival models have become popular for credit risk estimation. Most current credit risk survival models use an underlying linear model. This is beneficial in terms of interpretability but is restrictive for real-life applications since it cannot dis... Read More about Discrete-Time Survival Models with Neural Networks for Age-Period-Cohort Analysis of Credit Risk.