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

Do, Hung, Rösch, Daniel and Scheule, Harald (2018) Predicting loss severities for residential mortgage loans: A three-step selection approach. European Journal of Operational Research 270 (1), pp. 246-259.

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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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Item type:Article
Date:2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.ejor.2018.02.057DOI
Keywords:Analytics; Default; Loss given default; Residential mortgage; Selection model
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:37374
Owner only: item control page
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