Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models
扩展了混合治愈模型以纳入时变协变量，通过模拟和实际银行数据展示了如何将宏观经济因素作为预测变量，适用于处理高删失率的信用违约时间预测。
The prediction of the time of default in a credit risk setting via survival analysis needs to take a high censoring rate into account. This rate is because default does not occur for the majority of debtors. Mixture cure models allow the part of the loan population that is unsusceptible to default to be modeled, distinct from time of default for the susceptible population. In this article, we extend the mixture cure model to include time-varying covariates. We illustrate the method via simulations and by incorporating macro-economic factors as predictors for an actual bank dataset.