Modeling mortgage survival
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References listed on IDEAS
- Yuliya Demyanyk & Otto Van Hemert, 2011.
"Understanding the Subprime Mortgage Crisis,"
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- 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.
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Keywordsmarket risk; credit risk; mortgage; survival models;
- 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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