Loan modifications and risk of default: a Markov chains approach

Detalhes bibliográficos
Autor(a) principal: Almeida, Filipa Cardoso de
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/99608
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
id RCAP_6948c593cea6f006069ea36304615ac4
oai_identifier_str oai:run.unl.pt:10362/99608
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Loan modifications and risk of default: a Markov chains approachLoan ModificationDefaultMarkov ChainsSelf-Organizing MapsCredit RiskDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementWith the housing crisis, credit risk analysis has had an exponentially increasing importance, since it is a key tool for banks’ credit risk management, as well as being of great relevance for rigorous regulation. Credit scoring models that rely on logistic regression have been the most widely applied to evaluate credit risk, more specifically to analyze the probability of default of a borrower when a credit contract initiates. However, these methods have some limitations, such as the inability to model the entire probabilistic structure of a process, namely, the life of a mortgage, since they essentially focus on binary outcomes. Thus, there is a weakness regarding the analysis and characterization of the behavior of borrowers over time and, consequently, a disregard of the multiple loan outcomes and the various transitions a borrower may face. Therefore, it hampers the understanding of the recurrence of risk events. A discrete-time Markov chain model is applied in order to overcome these limitations. Several states and transitions are considered with the purpose of perceiving a borrower’s behavior and estimating his default risk before and after some modifications are made, along with the determinants of post-modification mortgage outcomes. Mortgages loans are considered in order to take a reasonable timeline towards a proper assessment of different loan performances. In addition to analyzing the impact of modifications, this work aims to identify and evaluate the main risk factors among borrowers that justify transitions to default states and different loan outcomes.Damásio, Bruno Miguel PintoRUNAlmeida, Filipa Cardoso de2020-06-19T11:47:41Z2020-06-162020-06-16T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/99608TID:202486818enginfo: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:RCAAP2024-03-11T04:46:28Zoai:run.unl.pt:10362/99608Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:39:13.645522Repositório 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 Loan modifications and risk of default: a Markov chains approach
title Loan modifications and risk of default: a Markov chains approach
spellingShingle Loan modifications and risk of default: a Markov chains approach
Almeida, Filipa Cardoso de
Loan Modification
Default
Markov Chains
Self-Organizing Maps
Credit Risk
title_short Loan modifications and risk of default: a Markov chains approach
title_full Loan modifications and risk of default: a Markov chains approach
title_fullStr Loan modifications and risk of default: a Markov chains approach
title_full_unstemmed Loan modifications and risk of default: a Markov chains approach
title_sort Loan modifications and risk of default: a Markov chains approach
author Almeida, Filipa Cardoso de
author_facet Almeida, Filipa Cardoso de
author_role author
dc.contributor.none.fl_str_mv Damásio, Bruno Miguel Pinto
RUN
dc.contributor.author.fl_str_mv Almeida, Filipa Cardoso de
dc.subject.por.fl_str_mv Loan Modification
Default
Markov Chains
Self-Organizing Maps
Credit Risk
topic Loan Modification
Default
Markov Chains
Self-Organizing Maps
Credit Risk
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2020
dc.date.none.fl_str_mv 2020-06-19T11:47:41Z
2020-06-16
2020-06-16T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/99608
TID:202486818
url http://hdl.handle.net/10362/99608
identifier_str_mv TID:202486818
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 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
_version_ 1799138008403804160

Registros relacionados