A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/104467 |
Resumo: | Chamboko, R., & Bravo, J. M. (2020). A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes. Risks, 8(2), 1-29. [64]. https://doi.org/10.3390/risks8020064 |
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A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomesCredit riskDelinquencyMortgage modificationMulti‐state modelsRecoveryRelief programsSurvival analysisAccountingEconomics, Econometrics and Finance (miscellaneous)Strategy and ManagementSDG 8 - Decent Work and Economic GrowthChamboko, R., & Bravo, J. M. (2020). A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes. Risks, 8(2), 1-29. [64]. https://doi.org/10.3390/risks8020064This paper proposes a novel system‐wide multi‐state framework to model state occupations and the transitions among current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for the modelling of the progression of borrowers from one state to another to fully understand the risks of a cohort of borrowers over time. We use a multi‐state Markov model to model the transitions to and from various states. The key factors affecting the transition into various loan outcomes are the ability to pay as measured by debt‐to‐income ratio, equity as marked by loan‐to‐value ratio, interest rates and the property type. Our findings have broader policy implications for better decision‐making on granting loans and the design of debt relief and mortgage modification policies.NOVA Information Management School (NOVA IMS)Information Management Research Center (MagIC) - NOVA Information Management SchoolRUNChamboko, RichardBravo, Jorge Miguel2020-09-21T22:17:43Z2020-062020-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article29application/pdfhttp://hdl.handle.net/10362/104467eng2227-9091PURE: 19921599https://doi.org/10.3390/risks8020064info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:49:58Zoai:run.unl.pt:10362/104467Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:14.290289Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
title |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
spellingShingle |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes Chamboko, Richard Credit risk Delinquency Mortgage modification Multi‐state models Recovery Relief programs Survival analysis Accounting Economics, Econometrics and Finance (miscellaneous) Strategy and Management SDG 8 - Decent Work and Economic Growth |
title_short |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
title_full |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
title_fullStr |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
title_full_unstemmed |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
title_sort |
A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes |
author |
Chamboko, Richard |
author_facet |
Chamboko, Richard Bravo, Jorge Miguel |
author_role |
author |
author2 |
Bravo, Jorge Miguel |
author2_role |
author |
dc.contributor.none.fl_str_mv |
NOVA Information Management School (NOVA IMS) Information Management Research Center (MagIC) - NOVA Information Management School RUN |
dc.contributor.author.fl_str_mv |
Chamboko, Richard Bravo, Jorge Miguel |
dc.subject.por.fl_str_mv |
Credit risk Delinquency Mortgage modification Multi‐state models Recovery Relief programs Survival analysis Accounting Economics, Econometrics and Finance (miscellaneous) Strategy and Management SDG 8 - Decent Work and Economic Growth |
topic |
Credit risk Delinquency Mortgage modification Multi‐state models Recovery Relief programs Survival analysis Accounting Economics, Econometrics and Finance (miscellaneous) Strategy and Management SDG 8 - Decent Work and Economic Growth |
description |
Chamboko, R., & Bravo, J. M. (2020). A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes. Risks, 8(2), 1-29. [64]. https://doi.org/10.3390/risks8020064 |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-09-21T22:17:43Z 2020-06 2020-06-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/104467 |
url |
http://hdl.handle.net/10362/104467 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2227-9091 PURE: 19921599 https://doi.org/10.3390/risks8020064 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
29 application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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