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Article

Моделирование времени жизни ипотечного кредита

Прикладная эконометрика. 2016. Т. 41. С. 123-143.
Румянцева Е. В., Фурманов К. К.

Paper is devoted to modeling risks of mortgage default and prepayment using data from large Russian mortgage agency. Various techniques of survival analysis are applied to estimate corresponding hazard functions and their relation to loan characteristics. Along with traditional, single equation regression models, split population approach is used. Special attention is paid to model selection issues.