Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients

DOI10.1016/j.ejor.2020.04.031zbMath1487.62134OpenAlexW3022621242MaRDI QIDQ2023957

Raffaella Calabrese, Jonathan N. Crook

Publication date: 3 May 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.04.031

zbMATH Keywords

conditional autoregressive modelsurvival modelmortgage defaultsspatial contagion

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (5)

Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Joint models for longitudinal and discrete survival data in credit scoring ⋮ Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: an application to credit repayment behaviour ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods ⋮ Contagion effects of UK small business failures: a spatial hierarchical autoregressive model for binary data

Uses Software

• Arc_Mat

Cites Work

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