This work programme investigates the use of survival analysis with macroeconomic factors to predict time to default for borrowers of credit products. By simulating the macroeconomic factors in a way that preseves the covariance structures between them, alpha quantiles of the PD distribution can be estimated. The work programme includes the estimation of intensity (doubly […]

This work programme aims to design more accurate methods for estimating exposure at default. Jonathan Crook, Mindy Leow

This work programme investigates the use of managerial factors and macroeconomic factors in the assessment of the riskiness of lending to SMEs. Jake Ansell and Galina Andreeva

Jake Ansell and Galina Andreeva

Jonathan Crook & Stefan Hochguertel (Free University of Amsterdam)

Jonathan Crook, Tony Bellotti, Galina Andreeva and Jake Ansell

Funded by EPSRC Jonathan Crook and Tony Bellotti