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Paper / 2016SMQ / 168948896105915
Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK
Janine Aron / John Muellbauer
credit risk / econometricsResource overview

Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK

Paper2016

by Janine Aron, John Muellbauer

Tags
credit riskeconometricshousing marketstime series

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Understand this paper

Suggested foundations for financial time series and credit and counterparty risk. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Counterparty Credit Risk and CVA

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