International Journal of Bank Marketing
2018

Modeling credit risk in credit unions using survival analysis

Blake Rayfield, M. Kabir Hassan, Jennifer Brodmann, Makeen Huda

Banking & Risk

Abstract

This paper investigates the factors that affect credit risk using survival analysis by employing two primary models – the AFT model and the Cox proportional hazard (PH) model. While several studies employ the Cox PH model, few use the AFT model. However, this paper concludes that the AFT model has superior predictive qualities.