Estimation of mortgage lending credit risk
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- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492, National Bureau of Economic Research, Inc.
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- Rumyantseva, Ekaterina & Furmanov, Kirill, 2016. "Modeling mortgage survival," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 41, pages 123-143.
- Agatha M. Poroshina, 2014. "Credit Risk Modeling Of Residential Mortgage Lending In Russia," HSE Working papers WP BRP 30/FE/2014, National Research University Higher School of Economics.
- Ozhegov, Evgeniy, 2017. "Estimating the demand function for differentiated product with endogenous characteristics and heterogeneity of preferences: The case of mortgage loans," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 93-115.
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More about this item
Keywordscredit risk; mortgage lending; sample selection; endogeneity;
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
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