Modelling the Time to Write-Off of Non-Performing Loans Using a Promotion Time Cure Model with Parametric Frailty

Modelling the Time to Write-Off of Non-Performing Loans Using a Promotion Time Cure Model with Parametric Frailty

Modelling the outcome after loan default is receiving increasing attention, and survival analysis is particularly suitable for this purpose due to the likely presence of censoring in the data. In this study, we suggest that the time to loan write-off may be influenced by latent competing risks, as w...

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Bibliographic Details
Main Authors: Janette Larney, James Samuel Allison, Gerrit Lodewicus Grobler, Marius Smuts
Format: Article
Language:English
Published: MDPI AG 2023-05-01
Series:Mathematics
Subjects:
survival analysis
write-off time
loan recovery
promotion time cure model
parametric frailty
shared frailty
Online Access:https://www.mdpi.com/2227-7390/11/10/2228

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