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A discrete variable chain graph for applicants for credit

Stanghellini, E.; McConway, K. J. and Hand, D. J. (1999). A discrete variable chain graph for applicants for credit. Journal of the Royal Statistical Society. Series C (Applied Statistics), 48(2) pp. 239–251.

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A bank offering unsecured personal loans may be interested in several related outcome variables, including defaulting on the repayments, early repayment or failing to take up an offered loan. Current predictive models used by banks typically consider such variables individually. However, the fact that they are related to each other, and to many interrelated potential predictor variables, suggests that graphical models may provide an attractive alternative solution. We developed such a model for a data set of 15 variables measured on a set of 14000 applications for unsecured personal loans. The resulting global model of behaviour enabled us to identify several previously unsuspected relationships of considerable interest to the bank. For example, we discovered important but obscure relationships between taking out insurance, prior delinquency with a credit card and delinquency with the loan.

Item Type: Article
Copyright Holders: 1999 Royal Statistical Society
ISSN: 0035-9254
Academic Unit/School: Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
Item ID: 23930
Depositing User: Sarah Frain
Date Deposited: 26 Apr 2011 12:01
Last Modified: 04 Oct 2016 10:46
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