Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients

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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 languageEnglish
Pages (from-to)749-761
JournalEuropean Journal of Operational Research
Volume287
Issue number2
Early online date6 May 2020
DOIs
Publication statusPublished - 1 Dec 2020

Keywords

  • conditional autoregressive model
  • survival model
  • spatial contagion
  • mortgage defaults

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