Year of Graduation
Survival Analysis Methods in Forecasting Probability of Default of Corporate Borrowers
Statistical Modelling and Actuarial Science
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.