PHAB scores: proportional hazards analysis behavioural scores

Credit scoring is one of the most widely used applications of quantitative analysis in business. Behavioural. scoring is a type of credit scoring that is performed on existing customers to assist lenders in decisions like inc reasing the balance or promoting new products. This paper shows how using s urvival analysis tools from reliability and maintenance modelling, specific ally Cox's proportional hazards regression, allows one to build behavioural scoring models. Their performance is compared with that of logistic regres sion. Also the advantages of using survival analysis techniques in building scorecards are illustrated by estimating the expected profit from personal loans. This cannot be done using the existing risk behavioural systems.