Duration Models in Loan Management
The purpose of this study is to estimate the future duration of a loan contract on the basis of several factors. The main methodology consists of a brief explanation of a survival analysis and a thorough application of a survival analysis in loan management. A real dataset from a credit institution...
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| Format: | Article |
| Language: | English |
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Sciendo
2015-06-01
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| Series: | Folia Oeconomica Stetinensia |
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| Online Access: | https://doi.org/10.1515/foli-2015-0027 |
| _version_ | 1818670366708465664 |
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| author | Vasilev Julian A. |
| author_facet | Vasilev Julian A. |
| author_sort | Vasilev Julian A. |
| collection | DOAJ |
| description | The purpose of this study is to estimate the future duration of a loan contract on the basis of several factors. The main methodology consists of a brief explanation of a survival analysis and a thorough application of a survival analysis in loan management. A real dataset from a credit institution (situated in Varna) is used. All contracts were signed for 30 days but some contracts were ended earlier, others - later. The main research question concerns the following statement. We may try to predict future loan duration by making an econometric model describing the dependency between the loan duration (as a dependent variable) and several independent variables. The dataset is analysed by calculating life tables, applying the Kaplan-Maier method and using Cox regression within SPSS. It is has been proved that the main covariates affecting loan duration are the variables: born in the region, month of birth and age. The formulated conclusions are valid for the analysed credit institution. This work provides a methodology for adapting duration models in credit institutions. The presented methodology (in this paper) may be applied over the dataset of other credit institutions (including banks) for loan duration prediction. |
| first_indexed | 2024-12-17T07:06:58Z |
| format | Article |
| id | doaj.art-8a2703f8723f4ab8823e5ef3650f16a7 |
| institution | Directory Open Access Journal |
| issn | 1898-0198 |
| language | English |
| last_indexed | 2024-12-17T07:06:58Z |
| publishDate | 2015-06-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Folia Oeconomica Stetinensia |
| spelling | doaj.art-8a2703f8723f4ab8823e5ef3650f16a72022-12-21T21:59:08ZengSciendoFolia Oeconomica Stetinensia1898-01982015-06-0115111412610.1515/foli-2015-0027foli-2015-0027Duration Models in Loan ManagementVasilev Julian A.0Varna University of Economics Department of Informatics Knyaz Boris I, 77, Varna, BulgariaThe purpose of this study is to estimate the future duration of a loan contract on the basis of several factors. The main methodology consists of a brief explanation of a survival analysis and a thorough application of a survival analysis in loan management. A real dataset from a credit institution (situated in Varna) is used. All contracts were signed for 30 days but some contracts were ended earlier, others - later. The main research question concerns the following statement. We may try to predict future loan duration by making an econometric model describing the dependency between the loan duration (as a dependent variable) and several independent variables. The dataset is analysed by calculating life tables, applying the Kaplan-Maier method and using Cox regression within SPSS. It is has been proved that the main covariates affecting loan duration are the variables: born in the region, month of birth and age. The formulated conclusions are valid for the analysed credit institution. This work provides a methodology for adapting duration models in credit institutions. The presented methodology (in this paper) may be applied over the dataset of other credit institutions (including banks) for loan duration prediction.https://doi.org/10.1515/foli-2015-0027survival analysisspssthe wilcoxon testthe kaplan-maier methodcox regression |
| spellingShingle | Vasilev Julian A. Duration Models in Loan Management Folia Oeconomica Stetinensia survival analysis spss the wilcoxon test the kaplan-maier method cox regression |
| title | Duration Models in Loan Management |
| title_full | Duration Models in Loan Management |
| title_fullStr | Duration Models in Loan Management |
| title_full_unstemmed | Duration Models in Loan Management |
| title_short | Duration Models in Loan Management |
| title_sort | duration models in loan management |
| topic | survival analysis spss the wilcoxon test the kaplan-maier method cox regression |
| url | https://doi.org/10.1515/foli-2015-0027 |
| work_keys_str_mv | AT vasilevjuliana durationmodelsinloanmanagement |