The inclusion of time-varying covariates into survival analysis has led to better predictions of the time to default in credit scoring models. When these time-varying covariates strictly depend on the debtor (internal), the estimation of the survival model can be biased if the time to default is not jointly estimated with the internal time-varying covariates, obtaining less accurate predictions. Joint models for longitudinal and survival data are a suitable framework to jointly model the survival time and the internal time-varying covariates.
- MSc Statistics and Operational Research
- Industrial Engineer
- BSc Engineering Sciences
- BSc Physics