Forecasting and explaining aggregate consumer credit delinquency behaviour
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DOI: 10.1016/j.ijforecast.2010.12.002
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- Luca Guerrieri & Michelle Welch, 2012. "Can macro variables used in stress testing forecast the performance of banks?," Finance and Economics Discussion Series 2012-49, Board of Governors of the Federal Reserve System (U.S.).
- Melchior, Cristiane & Zanini, Roselaine Ruviaro & Guerra, Renata Rojas & Rockenbach, Dinei A., 2021. "Forecasting Brazilian mortality rates due to occupational accidents using autoregressive moving average approaches," International Journal of Forecasting, Elsevier, vol. 37(2), pages 825-837.
- Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
- Wadud, Mokhtarul & Ali Ahmed, Huson Joher & Tang, Xueli, 2020. "Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Scott W. Davis & Kelly L. Haws, 2017. "Don’t Sweat the Big Stuff: Emphasizing Importance Hinders Goal Pursuit for Consumers Low in Dispositional Self-Control Resources," Journal of the Association for Consumer Research, University of Chicago Press, vol. 2(1), pages 93-104.
- Bocchio, Cecilia & Crook, Jonathan & Andreeva, Galina, 2023. "The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1655-1677.
- Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2016. "Accuracy of mortgage portfolio risk forecasts during financial crises," European Journal of Operational Research, Elsevier, vol. 249(2), pages 440-456.
- Andrew R. Sanderford & George A. Overstreet & Peter A. Beling & Kanshukan Rajaratnam, 2015. "Energy-efficient homes and mortgage risk: crossing the chasm at last?," Environment Systems and Decisions, Springer, vol. 35(1), pages 157-168, March.
- Martin Hauptfleisch, 2019. "Financial Decision-Making Using Data," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2019.
- Quaye, Frederick & Hartarska, Valentina & Nadolnyak, Denis, 2015. "Farmer Credit Delinquency in Southeastern US: Factors and Behavior Prediction," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196914, Southern Agricultural Economics Association.
- Dendramis, Y. & Tzavalis, E. & Adraktas, G., 2018. "Credit risk modelling under recessionary and financially distressed conditions," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 160-175.
- Salvador Climent-Serrano, 2019. "Effects of economic variables on NPLs depending on the economic cycle," Empirical Economics, Springer, vol. 56(1), pages 325-340, January.
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Keywords
Finance; Co-integration; ARIMA models; Error correction models; Time series; Unit roots;All these keywords.
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