摘要
Homemortgageloanlendingfirmsareexposedtomanybusinessrisks.Thispaperfocusesonthemortgageloanborrowerrisksandproposesaprospectivelossanalysisapproachinregardtoloanrepaymentdefaultsofborrowers.Forthispurpose,apredictivemodelingispresentedinthreestages.Inthefirststage,occurrenceofborrowerdefaultsinamortgageloansportfolioismodeledthroughthegeneralizedlinearmodels(GLMs)typeregressionsforwhichwespecifyalogisticdistributionfordefaultevents.Thesecondstageofmodelingdevelopsasurvivalanalysisinordertoestimatesurvivalprobabilityandhazardratefunctionsforindividualloans.Ultimately,anexpectablelossamountmodelispresentedinthethirdstageasafunctionofconditionalsurvivalprobabilitiesandcorrespondinghazardratesatloanlevels.Throughoutallmodelingstages,alargeandrealdatasetisusedasanempiricalanalysiscasebywhichdetailedinterpretationsandpracticalimplicationsoftheobtainedresultsarestated.
出版日期
2018年05月15日（中国期刊网平台首次上网日期，不代表论文的发表时间）
