An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
AbstractIn April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63\% of all the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private clients, i.e. borrowers who finance their property by the loan and we model the probability distribution of the number of defaults using a non-parametric intensity based approach. We consider the time-to-default and, by conditioning on a set of predictors for the default event, we obtain a log-additive model for the conditional intensity process of the time-to-default, where the contribution of each predictor is described by a smooth function. We estimate the model by using a local scoring algorithm coming from the generalized additive model.
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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0209001.
Date of creation: 04 Sep 2002
Date of revision: 09 Sep 2002
Note: Type of Document - Acrobat PDF; prepared on IBM PC; figures: included. RiskLab report
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default risk; default intensity; mortgages; generalized additive model.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-11 (All new papers)
- NEP-RMG-2002-09-11 (Risk Management)
- NEP-URE-2002-09-11 (Urban & Real Estate Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Adam Głogowski, 2008. "Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study," National Bank of Poland Working Papers 53, National Bank of Poland, Economic Institute.
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