Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
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Cites work
- scientific article; zbMATH DE number 3513115 (Why is no real title available?)
- scientific article; zbMATH DE number 1454116 (Why is no real title available?)
- A New Skewed Link Model for Dichotomous Quantal Response Data
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- Bayesian Measures of Model Complexity and Fit
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- Bayesian survival analysis
- Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach
- Credit contagion and aggregate losses
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- Extreme Value Modeling and Risk Analysis
- Flexible generalized t-link models for binary response data
- Generalized extreme value regression for binary response data: an application to B2B electronic payments system adoption
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- Measuring classifier performance: a coherent alternative to the area under the ROC curve
- Mixture cure models in credit scoring: if and when borrowers default
- Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
- Not if but when will borrowers default
- Parametric links for binary choice models: a Fisherian-Bayesian colloquy
- ROC Curves for Continuous Data
- Survival Analysis Methods for Personal Loan Data
- The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
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
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- Joint models for longitudinal and discrete survival data in credit scoring
- 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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