英文标题：
《A two-stage model for dealing with temporal degradation of credit
scoring》
---
作者：
Maria Rocha Sousa, Jo\\~ao Gama, Manuel J. Silva Gon\\c{c}alves
---
最新提交年份：
2014
---
英文摘要：
This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it can be extended to other applications of risk assessment with great success. Future extensions should cover predictions in larger time frames and consider lagged periods. This methodology can be further improved if more information about the economic cycles is integrated in the forecasting of default.
---
中文摘要：
这项工作附属于金砖国家2013年竞赛。我们提出了一个两阶段模型来处理信用评分模型的时间退化。这种方法在一年的时间内产生了激励性的结果。我们期望它能成功地推广到风险评估的其他应用中。未来的扩展应涵盖更大时间范围内的预测，并考虑滞后期。如果在违约预测中纳入更多关于经济周期的信息，这种方法可以进一步改进。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
PDF下载：
-->