An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
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References listed on IDEAS
- Santos Silva, J.M.C. & Murteira, J.M.R., 2009.
"Estimation of default probabilities using incomplete contracts data,"
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- repec:spr:schmbr:v:18:y:2017:i:3:d:10.1007_s41464-017-0034-y is not listed on IDEAS
- Adam Głogowski, 2008. "Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study," NBP Working Papers 53, Narodowy Bank Polski, Economic Research Department.
More about this item
Keywordsdefault risk; default intensity; mortgages; generalized additive model.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-11 (All new papers)
- NEP-RMG-2002-09-11 (Risk Management)
- NEP-URE-2002-09-11 (Urban & Real Estate Economics)
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