Proceedings of the International Scientific Conference "Competitive, Sustainable and Secure Development of the Regional Economy: Response to Global Challenges" (CSSDRE 2018)

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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/).

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Volume Title
Proceedings of the International Scientific Conference "Competitive, Sustainable and Secure Development of the Regional Economy: Response to Global Challenges" (CSSDRE 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
May 2018
ISBN
10.2991/cssdre-18.2018.106
ISSN
2352-5428
DOI
10.2991/cssdre-18.2018.106How to use a DOI?
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

risenwbib
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  -