@article{ART002387454},
author={김경선 and Seungwoo Shin},
title={A Systematic Analysis on Default Risk Based on Delinquency Probability},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2018},
volume={28},
number={3},
pages={21-35},
doi={10.35136/krer.28.3.2}
TY - JOUR
AU - 김경선
AU - Seungwoo Shin
TI - A Systematic Analysis on Default Risk Based on Delinquency Probability
JO - Korea Real Estate Review
PY - 2018
VL - 28
IS - 3
PB - korea real estate research institute
SP - 21
EP - 35
SN - 2092-5395
AB - The recent performance of residential mortgages demonstrated how default risk operated separately from prepayment risk. In this study, we investigated the determinants of the borrowers’ decisions pertaining to early termination through default from the mortgage performance data released by Freddie Mac, involving securitized mortgage loans from January 2011 to September 2013. We estimated a Cox-type, proportional hazard model with a single risk on fundamental factors associated with default options for individual mortgages. We proposed a mortgage default model that included two specifications of delinquency: one using a delinquency binary variable, while the other using a delinquency probability. We also compared the results obtained from two specifications with respect to goodness-of-fit proposed in the spirit of Vuong (1989) in both overlapping and nested models’ cases. We found that a model with our proposed delinquency probability variable showed a statistically significant advantage compared to a benchmark model with delinquency dummy variables. We performed a default prediction power test based on the method proposed in Shumway (2001), and found a much stronger performance from the proposed model.
KW - default;mortgage;delinquency;MBS
DO - 10.35136/krer.28.3.2
ER -
김경선 and Seungwoo Shin. (2018). A Systematic Analysis on Default Risk Based on Delinquency Probability. Korea Real Estate Review, 28(3), 21-35.
김경선 and Seungwoo Shin. 2018, "A Systematic Analysis on Default Risk Based on Delinquency Probability", Korea Real Estate Review, vol.28, no.3 pp.21-35. Available from: doi:10.35136/krer.28.3.2
김경선, Seungwoo Shin "A Systematic Analysis on Default Risk Based on Delinquency Probability" Korea Real Estate Review 28.3 pp.21-35 (2018) : 21.
김경선, Seungwoo Shin. A Systematic Analysis on Default Risk Based on Delinquency Probability. 2018; 28(3), 21-35. Available from: doi:10.35136/krer.28.3.2
김경선 and Seungwoo Shin. "A Systematic Analysis on Default Risk Based on Delinquency Probability" Korea Real Estate Review 28, no.3 (2018) : 21-35.doi: 10.35136/krer.28.3.2
김경선; Seungwoo Shin. A Systematic Analysis on Default Risk Based on Delinquency Probability. Korea Real Estate Review, 28(3), 21-35. doi: 10.35136/krer.28.3.2
김경선; Seungwoo Shin. A Systematic Analysis on Default Risk Based on Delinquency Probability. Korea Real Estate Review. 2018; 28(3) 21-35. doi: 10.35136/krer.28.3.2
김경선, Seungwoo Shin. A Systematic Analysis on Default Risk Based on Delinquency Probability. 2018; 28(3), 21-35. Available from: doi:10.35136/krer.28.3.2
김경선 and Seungwoo Shin. "A Systematic Analysis on Default Risk Based on Delinquency Probability" Korea Real Estate Review 28, no.3 (2018) : 21-35.doi: 10.35136/krer.28.3.2
