Predicting loss severities for residential mortgage loans: a three-step selection approach

DOI10.1016/J.EJOR.2018.02.057MaRDI QIDQ1754749zbMATH OpenOpenAlexWikidataFDO

Authors Hung Xuan Do, Daniel Rösch, Harald Scheule

Publication date 31 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2018.02.057

zbMATH Keywords

analyticsdefaultloss given defaultresidential mortgageselection model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• Accuracy of mortgage portfolio risk forecasts during financial crises
• Cost-based feature selection for support vector machines: an application in credit scoring
• Credit risk evaluation using multi-criteria optimization classifier with kernel, fuzzification and penalty factors
• Credit scoring with macroeconomic variables using survival analysis
• Cure events in default prediction
• How do foreclosures exacerbate housing downturns?
• Mixture cure models in credit scoring: if and when borrowers default
• Recent developments in consumer credit risk assessment
• Using neural network rule extraction and decision tables for credit-risk evaluation

Cited in

(8)

• Predicting mortgage early delinquency with machine learning methods
• Loss given default decomposition using mixture distributions of in-default events
• Benchmarking forecast approaches for mortgage credit risk for forward periods
• An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market
• Modelling repayment patterns in the collections process for unsecured consumer debt: a case study
• A method of retail mortgage stress testing: based on time-frame and magnitude analysis
• The profitability of online loans: a competing risks analysis on default and prepayment
• Enhancing mortgage rate prediction: a comprehensive evaluation of computational statistical approaches

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