Predicting loss severities for residential mortgage loans: A three-step selection approach

Predicting loss severities for residential mortgage loans: A three-step selection approach •Joint forecasting model for default probabilities and loss rates given default.•Control for default and non‐cure selection bias.•Measurement of correlations between the default, cure and loss processes.•Empirical evidence on time‐varying risk factors for US mortgage loans.•Econometric merit analysis. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png European Journal of Operational Research Elsevier

Predicting loss severities for residential mortgage loans: A three-step selection approach

Loading next page...
 
/lp/elsevier/predicting-loss-severities-for-residential-mortgage-loans-a-three-step-fu3kSs38sK
Publisher
Elsevier
Copyright
Copyright © 2018 Elsevier B.V.
ISSN
0377-2217
eISSN
1872-6860
D.O.I.
10.1016/j.ejor.2018.02.057
Publisher site
See Article on Publisher Site

Abstract

•Joint forecasting model for default probabilities and loss rates given default.•Control for default and non‐cure selection bias.•Measurement of correlations between the default, cure and loss processes.•Empirical evidence on time‐varying risk factors for US mortgage loans.•Econometric merit analysis.

Journal

European Journal of Operational ResearchElsevier

Published: Oct 1, 2018

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off