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Predicting loss severities for residential mortgage loans: A three-step selection approach

Do, Hung ; Rösch, Daniel ; Scheule, Harald



Abstract

This paper develops a novel framework to model the loss given default (LGD) of residential mortgage loans which is the dominant consumer loan category for many commercial banks. LGDs in mortgage lending are subject to two selection processes: default and cure, where the collateral value exceeds the outstanding loan amount. We propose a three-step selection approach with a joint probability ...

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