Survival Analysis and Stress Testing
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 stochastic) models of default.
Professor Jonathan Crook, Professor of Business Economics, Deputy Dean and Director of Research