Benchmarking forecast approaches for mortgage credit risk for forward periods

DOI10.1016/J.EJOR.2021.09.026zbMath1490.91229OpenAlexW3206425818MaRDI QIDQ2077950

Harald Scheule, Thi Mai Luong

Publication date: 23 February 2022

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.09.026

zbMATH Keywords

forward modelOR in bankinglifecycle modelmortgage credit riskmulti-period forecasts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (2)

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

Cites Work

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• Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default
• Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
• Forecasting forward defaults: a simple hazard model with competing risks

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