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Strategic Default And Moral Hazard In Real Estate: Insights From Machine Learning Applications, Arka Prava Bandyopadhyay

Dissertations, Theses, and Capstone Projects

Strategic default has been the achilles heel in academic finance for decades. By definition, whether a default has occurred due to strategic motive is unobservable. Moreover, a household has only so many avenues of conducting a strategic default. I use the context of commercial mortgages as property value as well property cashflow co-determine the default decision of these borrowers. I tease out the different strategic aspects of default from the ones emanating from liquidity constraints. The recent advances in Deep Neural Network (DNN), the advent of big data and the computational power associated with it has enabled me to disentangle …