The paper quantifies the influence of interest rates and inflation rates on default rates of banks. By expanding the work of Duffee (1998), with the unspanned risks as in the work of Joslin, Priebsch, and Singleton (2014), we estimate a multifactor model with unspanned interest rates and...

Some homeowners might intentionally skip mortgage payments that they can afford to be eligible for mortgage modification programs, such as Home Affordable Mortgage Program (HAMP). We use a natural experiment to investigate such strategic behavior. We find that the modification program not only...

Manipulation of hard information has been at the center of a wave of investigations into fraudulent bank behavior, such as mis-selling of mortgages and rigging of LIBOR and FX rates. Despite these prominent cases, little is known as to why employees manipulate hard information. Using almost a...

This paper uses Duffie and Singleton (1999) discount model for defaultable bonds to infer the presence of a preferential credit treatment (PCT) for Multilateral Development Banks (MDBs) in loss given default (LGD) space. The main inferences from the paper are twofold. -1- Lower lending fees in...

The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic...

From year to year, strong attention has been paid to the study of the problems of predicting firms' bankruptcy. Bankruptcy prediction is an essential issue in finance especially in emerging economics. Business information systems like Financial Information Systems (FIS) converts and store the...

Using a novel data set, we study the soft information in subprime mortgages that is not verifiable by a third party, and its relationship with mortgage default. We find that lender effort to collect soft information is intertwined with borrower self-selection into subprime mortgages. We employ...

In this paper we consider a parametric Weibull mixture cure model for modeling time to default on a personal loan portfolio in presence of disproportionate hazard rate. The main contribution of this paper is to evidence that mixture cure models are appropriate for non proportional sceneries,...