-based probability of default model which yields directly observ- able cash-fl ows at the loan level. The estimated model includes … the model and impact loans' probability of default and cure. Other loan-level covariates such as bank, Buy-to-Let status …, and vintage also impact loans' transition probabilities. Loss Given Default is also modelled over a three-year horizon …

transitions-based model of mortgage default. The estimation departs from cross-sectional methods typically used in mortgage … default models, in that the transition both into and out of mortgage default is predicted. Housing equity, regional … unemployment and loan interest rates are found to impact the probability of transition into default, while housing equity, interest …