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We analyse the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual...
Persistent link: https://www.econbiz.de/10014236050
We study and model the determinants of exposure at default (EAD) for large U.S. construction and land development loans from 2010 to 2017. EAD is an important component of credit risk, and commercial real estate (CRE) construction loans are more risky than income producing loans. This is the...
Persistent link: https://www.econbiz.de/10012230528
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 …
Persistent link: https://www.econbiz.de/10012925775
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 …
Persistent link: https://www.econbiz.de/10013211469
The recovery rate on defaulted corporate bonds has a time-varying distribution. We propose machine learning approaches for intertemporal analysis of U.S. corporate bonds' recovery rates with a large number of predictors. The most informative macroeconomic variables are selected from a broad...
Persistent link: https://www.econbiz.de/10012908447
This study explores whether financial literacy can enhance the ability to predict credit default by farmers using machine-learning models. It introduces a hybrid model combining k-means clustering and Adaboost to predict loan default using data on 10,396 farmers who obtained credit from Chinese...
Persistent link: https://www.econbiz.de/10014495219
We introduce the Credit Risk Database (CRD) and its contribution to financial inclusion efforts in Japan. By collecting financial data about small and medium-sized enterprises (SMEs), the CRD contributes to the overall understanding of the SME sector, to the adaptation of risk-based lending and...
Persistent link: https://www.econbiz.de/10012205617
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 …
Persistent link: https://www.econbiz.de/10013311601
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 …
Persistent link: https://www.econbiz.de/10013133500
(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 …
Persistent link: https://www.econbiz.de/10013036035