Non-Linear Proportional Default Model with Time-Dependent Variable for Retail Loan |
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Authors: | Jian-gang PENG Zhang-fei LI Zhi-hua LV Hong-wei ZHOU |
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Affiliation: | College of Finance, Hunan University, Changsha 410079, China |
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Abstract: | In view of the operation rule of retail loans and the characteristics of default factors affecting default behavior, the authors put forward non-linear proportional default model with time-dependent variables based on the Cox model. This model takes into account the non-linear relationship among variables and time-dependent variables while calculating the retail loan default probability in China's commercial banks, which will make the model to be in line with its objective reality better. The result demonstrates this model is scientific and feasible in practical application in China's commercial banks through empirical analysis and example analysis. |
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