2023
DOI: 10.3390/math11102228
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Modelling the Time to Write-Off of Non-Performing Loans Using a Promotion Time Cure Model with Parametric Frailty

Abstract: Modelling the outcome after loan default is receiving increasing attention, and survival analysis is particularly suitable for this purpose due to the likely presence of censoring in the data. In this study, we suggest that the time to loan write-off may be influenced by latent competing risks, as well as by common, unobservable drivers, such as the state of the economy. We therefore expand on the promotion time cure model and include a parametric frailty parameter to account for common, unobservable factors a… Show more

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