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...
