A two-stage model for dealing with temporal degradation of credit\n scoring

2014/06/30 by Maria Rocha Sousa, Sousa, Maria Rocha, João Gama +4
Business, Management and Accounting · Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Credit Risk and Financial Regulations #FOS: Economics and business #Financial Distress and Bankruptcy Prediction #General Finance (q-fin.GN) #Risk Management (q-fin.RM)

paper · pdf · doi:10.48550/arxiv.1406.7775

openalex publication_date 2014/06/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This work is attached to the BRICS 2013 competition. We propose a two-stage\nmodel for dealing with the temporal degradation of credit scoring models. This\nmethodology produced motivating results in a 1-year horizon. We anticipate that\nit can be extended to other applications of risk assessment with great success.\nFuture extensions should cover predictions in larger time frames and consider\nlagged periods. This methodology can be further improved if more information\nabout the economic cycles is integrated in the forecasting of default.\n

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