A multi‐state approach to modelling intermediate events and multiple mortgage loan outcomes

Detalhes bibliográficos
Autor(a) principal: Chamboko, Richard
Data de Publicação: 2020
Outros Autores: Bravo, Jorge Miguel
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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spelling 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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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