Artikel
A multi-state approach to modelling intermediate events and multiple mortgage loan outcomes
This paper proposes a novel system-wide multi-state framework to model state occupations and the transitions among current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for the modelling of the progression of borrowers from one state to another to fully understand the risks of a cohort of borrowers over time. We use a multi-state Markov model to model the transitions to and from various states. The key factors affecting the transition into various loan outcomes are the ability to pay as measured by debt-to-income ratio, equity as marked by loan-to-value ratio, interest rates and the property type. Our findings have broader policy implications for better decision-making on granting loans and the design of debt relief and mortgage modification policies.
- Sprache
-
Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 2 ; Pages: 1-28 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Econometrics
Duration Analysis; Optimal Timing Strategies
Forecasting Models; Simulation Methods
Financial Econometrics
Money Supply; Credit; Money Multipliers
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
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credit risk
survival analysis
multi-state models
delinquency
recovery
relief programs
mortgage modification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chamboko, Richard
Bravo, Jorge Miguel Ventura
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/risks8020064
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Chamboko, Richard
- Bravo, Jorge Miguel Ventura
- MDPI
Entstanden
- 2020
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