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Modeling mortgage survival

Author

Listed:
  • Ekaterina Rumyantseva

    (Agency for Housing Mortgage Lending, Moscow, Russian Federation)

  • Kirill Furmanov

    (Higher School of Economics, Moscow, Russia)

Abstract

Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, one-equation regression models, split population approach is used. Special attention is paid to model selection issues.

Suggested Citation

  • Ekaterina Rumyantseva & Kirill Furmanov, 2016. "Modeling mortgage survival," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 41, pages 123-143.
    • Handle: RePEc:ris:apltrx:0288
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2016_41_123-143.pdf
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    References listed on IDEAS

    as
    1. Roger B. Newson, 2010. "Comparing the predictive powers of survival models using Harrell’s C or Somers’ D," Stata Journal, StataCorp LLC, vol. 10(3), pages 339-358, September.
    2. Schmidt, Peter & Witte, Ann Dryden, 1989. "Predicting criminal recidivism using 'split population' survival time models," Journal of Econometrics, Elsevier, vol. 40(1), pages 141-159, January.
    3. Yuliya Demyanyk & Otto Van Hemert, 2011. "Understanding the Subprime Mortgage Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1848-1880.
    4. M Stepanova & L C Thomas, 2001. "PHAB scores: proportional hazards analysis behavioural scores," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 52(9), pages 1007-1016, September.
    5. Green, Jerry & Shoven, John B, 1986. "The Effects of Interest Rates on Mortgage Prepayments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 41-59, February.
    6. repec:bla:jfinan:v:44:y:1989:i:2:p:375-92 is not listed on IDEAS
    7. Agatha Lozinskaya & Evgeniy Ozhegov, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 3-17.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Ekaterina Rumyantseva & Kirill Furmanov, 2017. "Realisation of mortgage property: Survival analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 48, pages 22-43.

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    More about this item

    Keywords

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    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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