Modeling mortgage survival

Ekaterina Rumyantseva and Kirill Furmanov

Applied Econometrics, 2016, vol. 41, 123-143

Abstract: Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, one-equation regression models, split population approach is used. Special attention is paid to model selection issues.

Keywords: market risk; credit risk; mortgage; survival models (search for similar items in EconPapers)
JEL-codes: C41 G21 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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