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Title: Incorporating heterogeneity and macroeconomic variables into multistate delinquency models for credit cards Authors:  Jonathan Crook - University of Edinburgh (United Kingdom) [presenting]
Viani Djeundje - University of Edinburgh (United Kingdom)
Abstract: Multistate delinquency models model the probability that a credit account transits from one state of delinquency to another between any two points in the life of the account. Using a large sample of credit card accounts we parameterise such models and investigate whether predictive accuracy is enhanced by the incorporation of account specific random effects, the use of B-splines for the baseline functions and the incorporation of macroeconomic variables. We conclude that macroeconomic variables are statistically significant in such models, that the inclusion of random effects renders the fixed effects less statistically significant but does not enhance predictive accuracy.