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Modeling mortgage survival

Author

Listed:
  • Rumyantseva, Ekaterina

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

  • Furmanov, Kirill

    () (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

  • Rumyantseva, Ekaterina & Furmanov, Kirill, 2016. "Modeling mortgage survival," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 41, pages 123-143.
  • Handle: RePEc:ris:apltrx:0288
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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. Yuliya Demyanyk & Otto Van Hemert, 2011. "Understanding the Subprime Mortgage Crisis," Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 1848-1880.
    2. Roger B. Newson, 2010. "Comparing the predictive powers of survival models using Harrell’s C or Somers’ D," Stata Journal, StataCorp LP, vol. 10(3), pages 339-358, September.
    3. 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.
    4. Schwartz, Eduardo S & Torous, Walter N, 1989. " Prepayment and the Valuation of Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 44(2), pages 375-392, June.
    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. Lozinskaya, Agatha & Ozhegov, Evgeniy, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 3-17.
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    More about this item

    Keywords

    market risk; credit risk; mortgage; survival models;

    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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