English, Article edition: Estimating delinquency migration and the probability of default from aggregate data Jeffrey R. Stokes; Brent A. Gloy

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Estimating delinquency migration and the probability of default from aggregate data
Author
  • Jeffrey R. Stokes
  • Brent A. Gloy
Physical Description
  • article
Notes
  • Defaulting on a mortgage represents the ultimate consequence of past decisions to delay payment. While many modeling approaches are available to estimate the probability of default, most if not all require account-level data. Further, past research has not attempted to estimate the probability that a current loan will transition among delinquency states prior to default. In this paper, we present an econometric approach that makes use of publicly available aggregate data for estimating the probability of delinquency and the probability of default. The results suggest the approach may have merit for monitoring bank performance as well as usefulness for banks’ risk management efforts.
  • Delinquency, Markov chain, Maximum entropy, Probability of default
  • RePEc:eme:afrpps:v:67:y:2007:i:1:p:75-85
Language
  • English
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