Assessment of mortgage default risk via Bayesian reliability models

DOI10.1002/ASMB.849zbMATH Open1226.91081OpenAlexW4230300066MaRDI QIDQ3103154FDOQ3103154

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

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zbMATH Keywords

mixture modelsgeneralized gamma modeldefault rateearly payment defaultsnonmonotone failure rates

Mathematics Subject Classification ID

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

Cites Work

• Bayesian Measures of Model Complexity and Fit
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• A Generalization of the Gamma Distribution
• Deviance information criteria for missing data models
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• Bayes Factors
• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Information measures for generalized gamma family
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• BAYESIAN ANALYSIS OF FINITE MIXTURES OF WEIBULL DISTRIBUTIONS
• Reversal of Increasing Failure Rates When Pooling Failure Data
• Discrete bathtub failure rate and upside-down bathtub mean residual life

Cited In (14)

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

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