Residential Mortgage Probability of Default Models and Methods
نویسنده
چکیده
منابع مشابه
Woodhead Behavior and the Pricing of Residential Mortgages by
Option theory which has dominated residential mortgage prepayment and default research implies that a borrower will exercise prepayment or default options if the call option or put option, respectively, is "in the money" by some optimal amount. Empirical research provides evidence that the financial value of the call option is strongly associated with exercise of the prepayment option, and the ...
متن کاملAssessment of Mortgage Default Risk via Bayesian State Space Models
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate mortgage default rate. We discuss parameter updating, filtering, smoothing, forecasting and estimation using Markov chain Monte Carlo methods. In addition, w...
متن کامل16RT14 A transitions-based framework for estimating expected credit losses
This paper presents a framework for estimating losses for residential mortgage loans. At the core is a transitions-based probability of default model which yields directly observable cash-flows at the loan level. The estimated model includes coefficients on unemployment, Loan to Value ratio and interest rates, all of which allow a macroeconomic scenario to be fed through the model and impact lo...
متن کاملResidential Mortgage Default
although default rates on residential mortgages have been relatively low in recent years, policymakers and economists should still be concerned about mortgage default for several reasons. First, while the foreclosure rate in the u.s. has averaged only 1 percent over the past 20 years, there have been dramatic swings in regional default rates over this period. For example, in the early 1990s for...
متن کاملDependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece
The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2015