Modeling of Probability of a Default of Mortgage Borrowers Using Econometric Methods
Authors
Alexander Almosov, Yulia Brekhova, Elena Malysheva, Sofya Potomova
Corresponding Author
Alexander Almosov
Available Online May 2018.
- DOI
- 10.2991/cssdre-18.2018.106How to use a DOI?
- Keywords
- credit risk, mortgage, securitization, probability of a default
- Abstract
The article includes an analysis of probability of a default of loans being part of the mortgage pool. For the purpose of analysis it is proposed to develop an econometric model of probability of a default. A group of loan variables and a group of macroeconomic variables are selected as explanatory variables. As a result, the authors obtain and test the model consisting of 10 variables and demonstrating a high predictive power.
- Copyright
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Alexander Almosov AU - Yulia Brekhova AU - Elena Malysheva AU - Sofya Potomova PY - 2018/05 DA - 2018/05 TI - Modeling of Probability of a Default of Mortgage Borrowers Using Econometric Methods BT - Proceedings of the International Scientific Conference "Competitive, Sustainable and Secure Development of the Regional Economy: Response to Global Challenges" (CSSDRE 2018) PB - Atlantis Press SP - 513 EP - 516 SN - 2352-5428 UR - https://doi.org/10.2991/cssdre-18.2018.106 DO - 10.2991/cssdre-18.2018.106 ID - Almosov2018/05 ER -