Realisation of mortgage property: Survival analysis
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References listed on IDEAS
- Schmidt, Peter & Witte, Ann Dryden, 1989.
"Predicting criminal recidivism using 'split population' survival time models,"
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Elsevier, vol. 40(1), pages 141-159, January.
- Peter Schmidt & Ann Dryden Witte, 1987. "Predicting Criminal Recidivism Using "Split Population" Survival Time Models," NBER Working Papers 2445, National Bureau of Economic Research, Inc.
- Greg M. Gupton, 2005. "Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(2), pages 185-230, July.
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- repec:pal:jorsoc:v:61:y:2010:i:3:d:10.1057_jors.2009.67 is not listed on IDEAS
- Rumyantseva, Ekaterina & Furmanov, Kirill, 2016. "Modeling mortgage survival," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 41, pages 123-143.
- Jiří Witzany & Michal Rychnovský & Pavel Charamza, 2012. "Survival Analysis in LGD Modeling," European Financial and Accounting Journal, University of Economics, Prague, vol. 2012(1), pages 6-27.
- Lozinskaya, Agatha & Ozhegov, Evgeniy, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 3-17.
- Zhang, Jie & Thomas, Lyn C., 2012. "Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD," International Journal of Forecasting, Elsevier, vol. 28(1), pages 204-215.
More about this item
Keywordsmortgage; property realisation; 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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