Linkage Projects - Grant ID: LP0347295

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0347295

Funding Status
Closed

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Funded Activity Summary

Censored Regression Techniques for Credit Scoring. This project will apply censored regression techniques to a loans database from the industry partner, the ANZ bank. We will accurately estimate the actual time to loan repayment, rather than simply the risk of default. In a novel approach for credit scoring we will build a model using current, right-censored, rather than historic data, incorporating loans that are not yet repaid but are underway and clearly have a length of loan longer than observed. This approach has the immense advantage of being able to reflect contemporary borrowing patterns in the model, rather than relying on historic trends.

Funded Activity Details

Start Date: 01-04-2003

End Date: 30-09-2006

Funding Scheme: Linkage Projects

Funding Amount: $69,099.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Financial Econometrics | Statistics |

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Mathematical sciences

Other Keywords

Finance and investment services | Financial Econometrics | Mathematical sciences | Statistics | Stochastic Analysis And Modelling

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