In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed
A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default ...
We propose an alternative approach to the modeling of the positive dependence between the probabilit...
This paper presents a unified model of the default and prepayment behavior of homeowners in a propor...
This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages....
Credit risk is one of the main risks for credit institutions whose key role is to make loans. Credit...
This study proposes a theoretic interpolation-based lattice model to price the prepayment and defaul...
Abstract. One of the main problems in credit risk management is the correlated default. In large por...
Estimating default risk has been a major challenge in credit-risk analysis. Financial institutions a...
A new type of prepayment model for use in the valuation of mortgage-backed securities is presented. ...
This article examines the factors driving the borrower’s decision to terminate commercial mortgage c...
Mortgage is an important factor in real estate business. The deals done based on the long-term inves...
Purpose: This paper demonstrates how mixture survival models can be applied to analyse mortgage insu...
This article examines the factors driving the borrower's decision to terminate commercial mortgage c...
This paper examines the factors driving the equity-owner’s decision to terminate lending relationshi...
In this paper, a new approach, the Variance Gamma (VG) model, which is used to capture unexpected sh...
A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default ...
We propose an alternative approach to the modeling of the positive dependence between the probabilit...
This paper presents a unified model of the default and prepayment behavior of homeowners in a propor...
This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages....
Credit risk is one of the main risks for credit institutions whose key role is to make loans. Credit...
This study proposes a theoretic interpolation-based lattice model to price the prepayment and defaul...
Abstract. One of the main problems in credit risk management is the correlated default. In large por...
Estimating default risk has been a major challenge in credit-risk analysis. Financial institutions a...
A new type of prepayment model for use in the valuation of mortgage-backed securities is presented. ...
This article examines the factors driving the borrower’s decision to terminate commercial mortgage c...
Mortgage is an important factor in real estate business. The deals done based on the long-term inves...
Purpose: This paper demonstrates how mixture survival models can be applied to analyse mortgage insu...
This article examines the factors driving the borrower's decision to terminate commercial mortgage c...
This paper examines the factors driving the equity-owner’s decision to terminate lending relationshi...
In this paper, a new approach, the Variance Gamma (VG) model, which is used to capture unexpected sh...
A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default ...
We propose an alternative approach to the modeling of the positive dependence between the probabilit...
This paper presents a unified model of the default and prepayment behavior of homeowners in a propor...