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Impact of soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - 2023

Persistent link: https://www.econbiz.de/10014470089

Predicting mortgage loan defaults using machine learning techniques

Krasovytskyi, Danylo; Stavytskyy, Andriy - In: Mokslo darbai / Vilniaus Universitetas 103 (2024) 2, pp. 140-160

Mortgage default prediction is always on the table for financial institutions. Banks are interested in provision … beneficial. However, the residual maturity of mortgage loans does not contribute to default probability, which means that banks …

Persistent link: https://www.econbiz.de/10015047688

A stress test framework for the German residential mortgage market : methodology and application

Siemsen, Thomas; Vilsmeier, Johannes - 2017

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress …

Persistent link: https://www.econbiz.de/10011764865

First-exit times and their applications in default risk management

Hieber, Peter A. - 2013

Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging,...

Persistent link: https://www.econbiz.de/10010223150

Loss given default estimation : a two-stage model with classification tree-based boosting and support vector logistic regression

Tanoue, Yuta; Yamashita, Satoshi - In: Journal of risk 21 (2018/2019) 4, pp. 19-37

Persistent link: https://www.econbiz.de/10012059863

Forecasting corporate defaults in the German stock market

Mertens, Richard Lennart; Poddig, Thorsten; Fieberg, … - In: Journal of risk 20 (2017/2018) 6, pp. 29-54

Persistent link: https://www.econbiz.de/10011962407

Brož, Václav; Kočenda, Evžen - 2020

Persistent link: https://www.econbiz.de/10012545601

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …

Persistent link: https://www.econbiz.de/10012061369

Peas in a pod? : comparing the U.S. and Danish mortgage finance systems

Berg, Jesper; Nielsen, Morten Bækmand; Vickery, James - 2018

of the Danish mortgage finance system and compare and contrast it to the U.S. system. We also note characteristics of the … Danish model that may be of interest as the United States considers further mortgage finance reform. In particular, the … borrowers the option to repurchase their mortgage at the market price, mitigating "lock-in" effects. Danish mortgage …

Persistent link: https://www.econbiz.de/10011857417

Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio

Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70

Persistent link: https://www.econbiz.de/10011410323