The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ijforecast.2022.08.005
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007.
"Multi-period corporate default prediction with stochastic covariates,"
Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CIRJE F-Series CIRJE-F-373, CIRJE, Faculty of Economics, University of Tokyo.
- Darrell Duffie & Leandro Siata & Ke Wang, 2006. "Multi-Period Corporate Default Prediction With Stochastic Covariates," NBER Working Papers 11962, National Bureau of Economic Research, Inc.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CARF F-Series CARF-F-047, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
- Leow, Mindy & Crook, Jonathan, 2014. "Intensity models and transition probabilities for credit card loan delinquencies," European Journal of Operational Research, Elsevier, vol. 236(2), pages 685-694.
- Djeundje, Viani Biatat & Crook, Jonathan, 2019. "Dynamic survival models with varying coefficients for credit risks," European Journal of Operational Research, Elsevier, vol. 275(1), pages 319-333.
- T Bellotti & J Crook, 2009. "Credit scoring with macroeconomic variables using survival analysis," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(12), pages 1699-1707, December.
- J Banasik & J N Crook & L C Thomas, 1999. "Not if but when will borrowers default," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 50(12), pages 1185-1190, December.
- Leow, Mindy & Crook, Jonathan, 2016. "The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis," European Journal of Operational Research, Elsevier, vol. 249(2), pages 457-464.
- Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
- 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.
- Kelly, Robert & O’Malley, Terence, 2016.
"The good, the bad and the impaired: A credit risk model of the Irish mortgage market,"
Journal of Financial Stability, Elsevier, vol. 22(C), pages 1-9.
- Kelly, Robert, 2011. "The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market," Research Technical Papers 13/RT/11, Central Bank of Ireland.
- Park, Kevin A., 2016. "FHA loan performance and adverse selection in mortgage insurance," Journal of Housing Economics, Elsevier, vol. 34(C), pages 82-97.
- Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
- Hott, Christian, 2015.
"A model of mortgage losses and its applications for macroprudential instruments,"
Journal of Financial Stability, Elsevier, vol. 16(C), pages 183-194.
- Hott, Christian, 2013. "A model of mortgage losses and its applications for macroprudential instruments," Discussion Papers 34/2013, Deutsche Bundesbank.
- Hott, Christian, 2014. "A Model of Mortgage Losses and its Applications for Macroprudential Instruments," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100553, Verein für Socialpolitik / German Economic Association.
- Duffie, Darrell, 2011. "Measuring Corporate Default Risk," OUP Catalogue, Oxford University Press, number 9780199279234.
- Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.
- Lore Dirick & Gerda Claeskens & Bart Baesens, 2017. "Time to default in credit scoring using survival analysis: a benchmark study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(6), pages 652-665, June.
- Kupiec, Paul H., 2018.
"On the accuracy of alternative approaches for calibrating bank stress test models,"
Journal of Financial Stability, Elsevier, vol. 38(C), pages 132-146.
- Paul H. Kupiec, 2018. "On the accuracy of alternative approaches for calibrating bank stress test models," AEI Economics Working Papers 980152, American Enterprise Institute.
- Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.
- Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
- Bellotti, Tony & Crook, Jonathan, 2013. "Forecasting and stress testing credit card default using dynamic models," International Journal of Forecasting, Elsevier, vol. 29(4), pages 563-574.
- Nicholas M. Kiefer & C. Erik Larson, 2015. "Counting Processes for Retail Default Modeling," CREATES Research Papers 2015-17, Department of Economics and Business Economics, Aarhus University.
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Medina-Olivares, Victor & Calabrese, Raffaella & Crook, Jonathan & Lindgren, Finn, 2023. "Joint models for longitudinal and discrete survival data in credit scoring," European Journal of Operational Research, Elsevier, vol. 307(3), pages 1457-1473.
- Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
- Dirick, Lore & Claeskens, Gerda & Vasnev, Andrey & Baesens, Bart, 2022.
"A hierarchical mixture cure model with unobserved heterogeneity for credit risk,"
Econometrics and Statistics, Elsevier, vol. 22(C), pages 39-55.
- Lore Dirick & Gerda Claeskens & Andrey Vasnev & Bart Baesens, 2020. "A hierarchical mixture cure model with unobserved heterogeneity for credit risk," Working Papers of Department of Decision Sciences and Information Management, Leuven 665250, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
- Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
- Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
- Jiang, Cuiqing & Wang, Zhao & Zhao, Huimin, 2019. "A prediction-driven mixture cure model and its application in credit scoring," European Journal of Operational Research, Elsevier, vol. 277(1), pages 20-31.
- Lore Dirick & Gerda Claeskens & Bart Baesens, 2017. "Time to default in credit scoring using survival analysis: a benchmark study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(6), pages 652-665, June.
- Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
- Medina-Olivares, Victor & Lindgren, Finn & Calabrese, Raffaella & Crook, Jonathan, 2023. "Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: An application to credit repayment behaviour," European Journal of Operational Research, Elsevier, vol. 310(2), pages 860-873.
- Richard Chamboko & Jorge M. Bravo, 2016. "On the modelling of prognosis from delinquency to normal performance on retail consumer loans," Risk Management, Palgrave Macmillan, vol. 18(4), pages 264-287, December.
- Luong, Thi Mai & Scheule, Harald, 2022. "Benchmarking forecast approaches for mortgage credit risk for forward periods," European Journal of Operational Research, Elsevier, vol. 299(2), pages 750-767.
- Thi Mai Luong, 2020. "Selection Effects of Lender and Borrower Choices on Risk Measurement, Management and Prudential Regulation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2020, January-A.
- Leow, Mindy & Crook, Jonathan, 2014. "Intensity models and transition probabilities for credit card loan delinquencies," European Journal of Operational Research, Elsevier, vol. 236(2), pages 685-694.
- Djeundje, Viani Biatat & Crook, Jonathan, 2019. "Dynamic survival models with varying coefficients for credit risks," European Journal of Operational Research, Elsevier, vol. 275(1), pages 319-333.
- Arno Botha & Tanja Verster & Roelinde Bester, 2024. "The TruEnd-procedure: Treating trailing zero-valued balances in credit data," Papers 2404.17008, arXiv.org, revised Nov 2024.
- Bátiz-Zuk Enrique & Mohamed Abdulkadir & Sánchez-Cajal Fátima, 2021. "Exploring the sources of loan default clustering using survival analysis with frailty," Working Papers 2021-14, Banco de México.
- Medina-Olivares, Victor & Calabrese, Raffaella & Dong, Yizhe & Shi, Baofeng, 2022. "Spatial dependence in microfinance credit default," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1071-1085.
- Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
- Victor Medina-Olivares & Finn Lindgren & Raffaella Calabrese & Jonathan Crook, 2023. "Joint model for longitudinal and spatio-temporal survival data," Papers 2311.04008, arXiv.org.
- Bátiz-Zuk Enrique & González-Holden Alexa, 2023. "Identifying Gender Disparities on the Time to Repay Microfinance Group Loans: Evidence from Mexico," Working Papers 2023-07, Banco de México.
More about this item
Keywords
Multi-state models; Stress testing; Retail credit risk; Mortgages; Transition probabilities;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.