Benchmarking forecast approaches for mortgage credit risk for forward periods

Author:

Luong Thi Mai,Scheule HaraldORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference49 articles.

1. The role of soft information in a dynamic contract setting: Evidence from the home equity credit market;Agarwal;Journal of Money, Credit and Banking,,2011

2. Adverse selection in mortgage securitization;Agarwal;Journal of Financial Economics,2012

3. Why do borrowers make mortgage refinancing mistakes?;Agarwal;Management Science,2016

4. Default, insurance, and debt over the life-cycle;Athreya;Journal of Monetary Economics,2008

5. Basel Committee on Banking Supervision. (2005). Studies on the validation of internal rating systems. Consultation Paper.

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3. Exploring the Performance of XGBOOST and Artificial Neural Network in Personal Credit Default Prediction: An Empirical Study;2023 3rd International Conference on Electrical, Computer, Communications and Mechatronics Engineering (ICECCME);2023-07-19

4. Joint models for longitudinal and discrete survival data in credit scoring;European Journal of Operational Research;2023-06

5. Economic and Legal Aspects of Accessibility of Housing in the Region;XV International Scientific Conference “INTERAGROMASH 2022”;2023

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