Abstract
This paper proposes a spatial discrete survival model to estimate the time to default for UK mortgages. The model includes a flexible parametric link function given by the Generalised Extreme Value Distribution and a dynamic spatially varying baseline hazard function to capture neighbourhood effects over time. We incorporate time and space varying variables into the model. The gains of the proposed model are illustrated through the analysis of a dataset on around 74,000 mortgage loans issued in England and Wales from 2006 to 2015.
| Original language | English |
|---|---|
| Pages (from-to) | 749-761 |
| Journal | European Journal of Operational Research |
| Volume | 287 |
| Issue number | 2 |
| Early online date | 6 May 2020 |
| DOIs | |
| Publication status | Published - 1 Dec 2020 |
Keywords / Materials (for Non-textual outputs)
- conditional autoregressive model
- survival model
- spatial contagion
- mortgage defaults
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Dive into the research topics of 'Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients'. Together they form a unique fingerprint.Profiles
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Raffaella Calabrese
- Business School - Personal Chair of Data Science
- Management Science and Business Economics
- Credit Research Centre
- Management Science
- Edinburgh Centre for Financial Innovations
Person: Academic: Research Active