Survival Analysis Methods in Forecasting Probability of Default of Corporate Borrowers

Student: Kondrateva Raisa

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Year of Graduation: 2019

One of the most popular tools for assessing the probability of default for corporate borrowers today is the logistic regression. This approach does not provide the possibility of taking into account the characteristics of the borrower for a period of time longer than one year. Taking into account that the borrower's behavior is dynamic, it becomes obvious that this tool cannot take into account all the available information about the borrower. There is a need to develop methods for constructing estimates of the probability of default for corporate borrowers, which allow to take into account the evolution of changes in the characteristics of counterparties over time. Cox’s proportional hazards model is one of these methods, its application will be discussed in this paper.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses