Evaluation of the Censuring effect in credit scoring models adjusted by survival analysis

• Grant number: 08/05474-2
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Effective date (Start): September 01, 2008
• Effective date (End): August 31, 2009
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Mario Hissamitsu Tarumoto
• Grantee: Amanda Cardoso Ferro
• Host Institution: Faculdade de Ciências e Tecnologia (FCT). Universidade Estadual Paulista (UNESP). Campus de Presidente Prudente. Presidente Prudente , SP, Brazil

Abstract

The aim of this project is to study some regression models used in Credit Scoring, in particular, the model which considers the incorporation of the default instant. It is natural that information are lost in this situation. One adequate form of studying the data of this nature is the construction of survival analysis models. The main objective of this work is to study the censuring effect in the estimation of the parameters in some Credit Score models adjusted by survival analysis. In this work, the right censure will be considered, and the study will be done using the Bootstrap simulation through the software SAS or R.