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In this paper, we propose a method that provides a useful technique tocompare relationship between risks involved that takes customer becomedefaulter and debt collection process that might make this defaulter recovered.Through estimation of competitive risks that lead to realization of the eventof interest, we showed that there is a significant relation between theintensity of default and losses from defaulted loans in collection processes.To reach this goal, we investigate a competing risks model applied to wholecredit risk cycle into a bank loans portfolio. We estimated competing causesrelated to occurrence of default, thereafter, comparing it with estimatedcompeting causes that lead loans to write-off condition. In context of modelingcompeting risks, we used a specification of Poisson distribution for numbersfrom competing causes and Weibull distribution for failures times. Thelikelihood maximum estimation is used to parameters estimation and the model isapplied to a real data of personal loans

An Evidence of Link between Default and Loss of Bank Loans from the Modeling of Competing Risks