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Modeling Subprime Mortgage Delinquency, Default, Prepayment And Loss, Olgay Cangur

Dissertations and Theses

The current financial environment presents significant challenges for the mortgage industry. Declining house prices have surfaced the importance of delinquency, loan default and loss predictions. Simple models of prepayment behavior are no longer applicable. Investors, originators, servicers and regulators are in need of more accurate predictions for their portfolios of interest.

This dissertation focuses on two topics relevant to modeling residential mortgages. The first topic provides a framework for modeling delinquencies, prepayments, defaults and losses that represents an enhancement over previous studies. A total of nine loan payment statuses are used (current, thirty-days delinquent, sixty-days delinquent, ninety-days delinquent, early foreclosure, …