A Bayesian approach to modeling mortgage default and prepayment
Item Type:Journal Article
Citation:Bhattacharya, A., Wilson, S.P. & Soyer, R., A Bayesian approach to modeling mortgage default and prepayment, European Journal of Operational Research, 274, 3, 2019, 1112 - 1124
Mortgage_paper.pdf (Accepted for publication (author's copy) - Peer Reviewed) 2.651Mb
In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed.
Type of material:Journal Article
Series/Report no:European Journal of Operational Research;
Availability:Full text available