Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
DOI10.1016/J.EJOR.2020.04.031zbMATH Open1487.62134OpenAlexW3022621242MaRDI QIDQ2023957FDOQ2023957
Authors: Raffaella Calabrese, Jonathan Crook 
Publication date: 3 May 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.04.031
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Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Cited In (10)
- Monitoring foreclosure rates with a spatially risk-adjusted Bernoulli CUSUM chart for concurrent observations
- Contagion effects of UK small business failures: a spatial hierarchical autoregressive model for binary data
- Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour
- Spatial dependence in credit risk and its improvement in credit scoring
- Joint models for longitudinal and discrete survival data in credit scoring
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- A space-time varying coefficient model: the equity of service accessibility
- The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's
- Benchmarking forecast approaches for mortgage credit risk for forward periods
- Commercial and residential mortgage defaults: spatial dependence with frailty
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