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A Bayesian approach to modeling mortgage default and prepayment

Arnab Bhattacharya, Simon P. Wilson and Refik Soyer

European Journal of Operational Research, 2019, vol. 274, issue 3, 1112-1124

Abstract: In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed.

Keywords: Reliability; Proportional hazards model; Competing risks; MCMC (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:ejores:v:274:y:2019:i:3:p:1112-1124