Assessment of mortgage default risk via Bayesian state space models

DOI10.1214/13-AOAS632zbMath1283.62211arXiv1311.7261MaRDI QIDQ386733

Tevfik Aktekin, Refik Soyer, Feng Xu

Publication date: 10 December 2013

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.7261

zbMATH Keywords

Bayesian inferencedynamic Poisson processes

Mathematics Subject Classification ID

Related Items (7)

Sequential modeling, monitoring, and forecasting of streaming web traffic data ⋮ Sequential Bayesian analysis of multivariate count data ⋮ Model selection for time series of count data ⋮ Unnamed Item ⋮ Discussion of ‘Multi‐stage multivariate modeling of temporal patterns in prescription counts for competing drugs in a therapeutic category’ ⋮ A family of multivariate non‐gaussian time series models ⋮ A Bayesian approach to modeling mortgage default and prepayment

Uses Software

• BayesDA

Cites Work

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• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Assessment of mortgage default risk via Bayesian reliability models
• Default Estimation and Expert Information
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Bayesian Vector Autoregressions with Stochastic Volatility
• Optimal stopping in software testing
• Bayes Factors
• A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD
• Modelling stylized features in default rates

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