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Luong et al., 2022 - Google Patents

Benchmarking forecast approaches for mortgage credit risk for forward periods

Luong et al., 2022

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Document ID
12144360447598476590
Author
Luong T
Scheule H
Publication year
Publication venue
European Journal of Operational Research

External Links

Snippet

This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years. Using data from US prime mortgage loans from 2000 to 2016, we find that common borrower, loan contract and external features are significant in …
Continue reading at papers.ssrn.com (PDF) (other versions)

Classifications

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
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