An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
In April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63\% of all the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private clients, i.e. borrowers who finance their property by the loan and we model the probability distribution of the number of defaults using a non-parametric intensity based approach. We consider the time-to-default and, by conditioning on a set of predictors for the default event, we obtain a log-additive model for the conditional intensity process of the time-to-default, where the contribution of each predictor is described by a smooth function. We estimate the model by using a local scoring algorithm coming from the generalized additive model.
|Date of creation:||04 Sep 2002|
|Date of revision:||09 Sep 2002|
|Note:||Type of Document - Acrobat PDF; prepared on IBM PC; figures: included. RiskLab report|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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