Assessment of mortgage default risk via Bayesian reliability models

DOI10.1002/ASMB.849MaRDI QIDQ3103154zbMATH OpenOpenAlexFDO

Authors Refik Soyer, Feng Xu

Publication date 26 November 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.849

zbMATH Keywords

mixture modelsgeneralized gamma modeldefault rateearly payment defaultsnonmonotone failure rates

Mathematics Subject Classification ID

Reliability and life testing (62N05) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 469327 (Why is no real title available?)
• scientific article; zbMATH DE number 597901 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• A Generalization of the Gamma Distribution
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• BAYESIAN ANALYSIS OF FINITE MIXTURES OF WEIBULL DISTRIBUTIONS
• Bayes Factors
• Bayesian Measures of Model Complexity and Fit
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Deviance information criteria for missing data models
• Discrete bathtub failure rate and upside-down bathtub mean residual life
• Information measures for generalized gamma family
• Reversal of Increasing Failure Rates When Pooling Failure Data

Cited in

(14)

• Testing if a mixture is from a given location-scale family
• Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
• Default estimation and expert information
• Provisioning against borrowers default risk
• Default risk analysis via a discrete-time cure rate model
• Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default
• Default Probabilities for Mortgages
• A Bayesian approach to modeling mortgage default and prepayment
• Assessment of mortgage default risk via Bayesian state space models
• Model Futility and Dynamic Boundaries with Application in Banking Default Risk Modeling
• Modeling of commercial real estate credit risks
• Commercial and residential mortgage defaults: spatial dependence with frailty
• Importance of components for a system
• Identifying future defaulters: a hierarchical Bayesian method

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