Assessment of mortgage default risk via Bayesian reliability models

DOI10.1002/asmb.849zbMath1226.91081MaRDI QIDQ3103154

Feng Xu, Refik Soyer

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 models; generalized gamma model; default rate; early payment defaults; nonmonotone failure rates

Mathematics Subject Classification ID

62N05: Reliability and life testing

91G40: Credit risk

Related Items

Importance of Components for a System, Assessment of mortgage default risk via Bayesian state space models, A Bayesian approach to modeling mortgage default and prepayment, Testing if a mixture is from a given location–scale family

Uses Software

• BUGS

Cites Work

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