Modeling mortgage survival
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- Schmidt, Peter & Witte, Ann Dryden, 1989.
"Predicting criminal recidivism using 'split population' survival time models,"
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- 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.
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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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