{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,10]],"date-time":"2025-10-10T01:38:19Z","timestamp":1760060299895,"version":"build-2065373602"},"reference-count":40,"publisher":"MDPI AG","issue":"8","license":[{"start":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T00:00:00Z","timestamp":1755216000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"national resources through the FCT\u2014Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia, I.P.","award":["UIDB\/00297\/2020","UIDP\/00297\/2020","UID06522"],"award-info":[{"award-number":["UIDB\/00297\/2020","UIDP\/00297\/2020","UID06522"]}]},{"name":"FCT, I.P., the Portuguese national funding agency for science, research and technology","award":["UIDB\/00297\/2020","UIDP\/00297\/2020","UID06522"],"award-info":[{"award-number":["UIDB\/00297\/2020","UIDP\/00297\/2020","UID06522"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Risks"],"abstract":"<jats:p>This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the dynamic evaluation of portfolio performance. The model explicitly accounts for right censoring and demonstrates strong predictive accuracy. Furthermore, by incorporating additional information about the portfolio\u2019s loss process, we show how to empirically estimate key risk measures\u2014such as Value at Risk (VaR) and Expected Shortfall (ES)\u2014that are sensitive to the age of the loans. Through simulations, we illustrate how loss distributions and the corresponding risk measures evolve over the loans\u2019 life cycles. Our approach emphasizes the significant dependence of risk metrics on loan age, illustrating that risk profiles are inherently dynamic rather than static. Using a real-world dataset of 10,479 loans issued by Angolan commercial banks, combined with assumptions regarding loss processes, we demonstrate the practical applicability of the proposed methodology. This approach is particularly relevant for emerging markets with limited access to advanced credit risk modeling infrastructure.<\/jats:p>","DOI":"10.3390\/risks13080155","type":"journal-article","created":{"date-parts":[[2025,8,15]],"date-time":"2025-08-15T14:24:28Z","timestamp":1755267868000},"page":"155","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Survival Analysis for Credit Risk: A Dynamic Approach for Basel IRB Compliance"],"prefix":"10.3390","volume":"13","author":[{"given":"Fernando L.","family":"Dala","sequence":"first","affiliation":[{"name":"Banco Nacional de Angola, Av. 4 de Fevereiro n. 151, Luanda, Angola"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4991-7568","authenticated-orcid":false,"given":"Manuel L.","family":"Esqu\u00edvel","sequence":"additional","affiliation":[{"name":"School of Science and Technology and Nova Math, Universidade Nova de Lisboa, 2829-516 Caparica, Portugal"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3294-3962","authenticated-orcid":false,"given":"Raquel M.","family":"Gaspar","sequence":"additional","affiliation":[{"name":"ISEG Research, Lisbon School of Economics and Management, Universidade de Lisboa, Rua do Quelhas, n. 6, 1200-781 Lisboa, Portugal"}]}],"member":"1968","published-online":{"date-parts":[[2025,8,15]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"1","DOI":"10.32604\/cmc.2025.063551","article-title":"The future of artificial intelligence in the face of data scarcity","volume":"84","author":"Abdalla","year":"2025","journal-title":"Computers, Materials & Continua"},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"1089","DOI":"10.1057\/palgrave.jors.2601990","article-title":"Neural network survival analysis for personal loan data","volume":"56","author":"Baesens","year":"2005","journal-title":"Journal of the Operational Research Society"},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"1185","DOI":"10.1057\/palgrave.jors.2600851","article-title":"Not if but when will borrowers default","volume":"50","author":"Banasik","year":"1999","journal-title":"Journal of the Operational Research Society"},{"key":"ref_4","unstructured":"BCBS (2011). 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