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A multi-state approach to modelling intermediate events and multiple mortgage loan outcomes

Chamboko, Richard; Bravo, Jorge Miguel Ventura - In: Risks : open access journal 8 (2020) 2/64, pp. 1-28

This paper proposes a novel system-wide multi-state framework to model state occupations and the transitions among current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for the modelling of the progression of borrowers from one...

Persistent link: https://www.econbiz.de/10012293007

Counting processes for retail default modeling

Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72

Persistent link: https://www.econbiz.de/10011380103

A duration dependent rating migration model : real data application and cost of capital estimation

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Finance a úvěr 64 (2014) 3, pp. 233-245

Persistent link: https://www.econbiz.de/10010373383

Survival analysis as a tool for better probability of default prediction

Rychnovský, Michal - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 26 (2018) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10011896627

Credit consumption and financial risk among Danish households : a register-based study of the distribution of bank and credit card debt

Hohnen, P.; Hansen, A. Rhiger - In: Journal of consumer policy : consumer issues in law, … 44 (2021) 2, pp. 311-328

Persistent link: https://www.econbiz.de/10012618240

Affine models for credit risk analysis

Gouriéroux, Christian; Monfort, Alain; Polimenis, V. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 494-530

Persistent link: https://www.econbiz.de/10003354119

Affine model for credit risk analysis

Gouriéroux, Christian; Monfort, Alain; Polimenis, Vassilis - 2005

Persistent link: https://www.econbiz.de/10003333870

An alternative methodology for estimating credit quality transition matrices

Gómez-González, José E.; Morales Acevedo, Paola; … - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 353-364

Persistent link: https://www.econbiz.de/10003907276

Survival analysis and mortgage termination at AgChoice ACA

Dressler, Jonathan B.; Stokes, Jeffrey R. - In: Agricultural finance review 70 (2010) 1, pp. 21-36

Persistent link: https://www.econbiz.de/10003983630

A time-dependent proportional hazards survival model for credit risk analysis

Im, J.-K.; Apley, D. W.; Qi, C.; Shan, X. - In: Journal of the Operational Research Society : OR 63 (2012) 3, pp. 306-321

Persistent link: https://www.econbiz.de/10009509221