Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model

Business & Economics

• Credit 20%
• Credit Scoring 27%
• Default Probability 26%
• Empirical Data 18%
• Extreme Values 77%
• Generalized Linear Model 28%
• Loans 48%
• Logistic Regression Model 49%
• Maximum Likelihood 21%
• Modeling 37%
• Performance 8%
• Probability of Default 25%
• Quantile 22%
• Rare Events 85%
• Regression Model 52%
• Scoring Model 28%
• Simulation Study 20%
• Skewness 22%
• Small and Medium-sized Enterprises (SMEs) 100%

Mathematics

• Banks 19%
• Binary 12%
• Complementary function 23%
• Credit Scoring 25%
• Curve 9%
• Dependent 21%
• Estimate 7%
• Extreme Values 71%
• Generalization 8%
• Generalized Linear Model 17%
• Link Function 39%
• Logistic Regression Model 38%
• Maximum Likelihood Method 17%
• Model 21%
• Modeling 41%
• Performance 9%
• Quantile Function 19%
• Rare Events 80%
• Regression Model 52%
• Simulation Study 11%
• Skewness 17%
• Tail 14%