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Realisation of mortgage property: Survival analysis

Author

Listed:
  • Rumyantseva, Ekaterina

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

  • Furmanov, Kirill

    (National Research University Higher School of Economics, Moscow, Russian Federation)

Abstract

Time to realisation of mortgage property is studied using data from Russian mortgage agency. Factors indicating high risk of non-realisation are revealed. Obtained estimates indicate that time to realisation is determined mainly by a loan-to-value ratio, a type of mortgage property and its location in economically developed region.

Suggested Citation

  • Rumyantseva, Ekaterina & Furmanov, Kirill, 2017. "Realisation of mortgage property: Survival analysis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 48, pages 22-43.
  • Handle: RePEc:ris:apltrx:0329
    as

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    References listed on IDEAS

    as
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    8. Карминский Александр Маркович & Лозинская Агата Максимовна & Ожегов Евгений Максимович, 2016. "Методы Оценки Потерь Кредитора При Ипотечном Жилищном Кредитовании," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 20(1), pages 9-51.
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    More about this item

    Keywords

    mortgage; property realisation; survival models;
    All these keywords.

    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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