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Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
Ardia, David - 2017
' population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling …We propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers …
Persistent link: https://www.econbiz.de/10012968851
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Modelling and forecasting mortgage delinquency and foreclosure in the UK
Aron, Janine; Muellbauer, John - 2016
Persistent link: https://www.econbiz.de/10011451644
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Modelling and forecasting mortage delinquency and foreclosure in the UK
Aron, Janine; Muellbauer, John - 2016
Persistent link: https://www.econbiz.de/10011494162
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Impact of mortgage soft information in loan pricing on default prediction using machine learning
Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186
Persistent link: https://www.econbiz.de/10014251350
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Forecasting mortgage defaults : evidence from UK portfolio-level data
Makropoulos, Alexios; Savvopoulos, Anastasios; Jones, … - In: International journal of computational economics and … 5 (2015) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10011342888
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Multi-period structural model of a mortgage portfolio with cointegrated factors
Gapko, Petr; Šmíd, Martin - In: Finance a úvěr 66 (2016) 6, pp. 565-574
Persistent link: https://www.econbiz.de/10011582648
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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Predicting loss severities for residential mortgage loans : a three-step selection approach
Do, Hung Xuan; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 270 (2018) 1, pp. 246-259
Persistent link: https://www.econbiz.de/10011869001
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Predicting prepayment and default risks of unsecured consumer loans in online lending
Li, Zhiyong; Li, Ke; Yao, Xiao; Wen, Qing - In: Emerging markets, finance and trade : EMFT 55 (2019) 1, pp. 118-132
Persistent link: https://www.econbiz.de/10012210454