appropriate for UK and US mortgages. This model also forecasts mortgage default rates accurately and parsimoniously. The model … generates value-at-risk estimates for future mortgage default rates, which can be used to inform stress-testing and …

This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years …. Using data from US prime mortgage loans from 2000 to 2016, we find that common borrower, loan contract and external features … alternatives. This higher precision results in more accurate economic capital, IFRS 9/CECL loan loss provisioning and mortgage …

This paper investigates the performance of thirteen methods for modelling and predicting mortgage early delinquency …-of-sample, and out-of-time data. Lastly, predictive accuracy is a major challenge facing all mortgage early delinquency models, even …

The abnormally high mortgage default rates that became apparent in early 2007 were not foreseen in June 2005, when … mortgage production in the US reached its peak. Could the significant increase in mortgage defaults that triggered the … resultant subprime crisis, have been predicted? This paper develops a mortgage-level predictive model for mortgage default and …

(LVR), loan documentation, loan type, loan purpose, and state. The data covers a cross-section of 25,537 mortgage loans … mortgage borrower. In this preliminary analysis, we find that the parametric model specification does not capture the … that the PD and the LVR, which is known to be a key determinant of mortgage default, have a nonlinear relationship that is …