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The good, the bad and the impaired: A credit risk model of the Irish mortgage market
14 references·1 citing·54 second hop
The good, the bad and the impaired: A credit risk model of the Irish mortgage market (2015)The good, the bad and the impaired: A cre…Unemployment, Negative Equity, and Strategic Default (2013)Unemployment, Negative Equity…Credit loss and systematic loss given default (2012)Credit loss and systematic lo…What “Triggers” Mortgage Default? (2010)What “Triggers” Mortgage Defa…The Rise in Mortgage Defaults (2009)The Rise in Mortgage DefaultsNegative equity and foreclosure: Theory and evidence (2008)Negative equity and foreclosu…An Empirical Model of Subprime Mortgage Default From 2000 to 2007 (2008)An Empirical Model of Subprim…Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Using Markov Chains to Estimate Losses from a Portfolio of Mortgages (1999)Using Markov Chains to Estima…Mortgage Prepayment and Default Decisions: A Poisson Regression Approach (1993)Mortgage Prepayment and Defau…A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)A Generalized Valuation Model…Estimation of the Allowance for Doubtful Accounts by Markov Chains (1962)Estimation of the Allowance f…The Federal Reserve Bank Of Atlanta (1947)The Federal Reserve Bank Of A…Stress in Suburbia: Counting the Costs of Ireland's Property Crash and Mortgage Arrears Crisis (2015)Stress in Suburbia: Counting …FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Bank Liquidity Creation (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Risk-based capital requirements for mortgage loans (2003)Theory of rational option pricing (2005)Housing markets and the financial crisis of 2007–2009: Lessons for the future (2010)Golden Eggs and Hyperbolic Discounting (1997)Household Finance (2006)The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis * (2009)Markets: The Credit Rating Agencies (2010)Racial Segregation and the American Foreclosure Crisis (2010)The failure of models that predict failure: Distance, incentives, and defaults (2014)A Markov Model for the Term Structure of Credit Risk Spreads (1997)On cox processes and credit risky securities (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Are credit ratings procyclical? (2004)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Effects of Interest Rates on Mortgage Prepayments (1986)Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities (1992)Risk-Based Pricing and the Enhancement of Mortgage Credit Availability among Underserved and Higher Credit-Risk Populations (2006)Juvenile delinquent mortgages: Bad credit or bad economy? (2008)Deep Learning for Mortgage Risk (2018)Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach (1984)Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher (1987)Is There a Bubble in the Housing Market? (2003)Moral and Social Constraints to Strategic Default on Mortgages (2009)Systemic risk and the refinancing ratchet effect (2012)Consumer Ruthlessness and Mortgage Default during the 2007 to 2009 Housing Bust (2017)An Empirical Analysis of Personal Bankruptcy and Delinquency (2002)The Reaction of Consumer Spending and Debt to Tax Rebates—Evidence from Consumer Credit Data (2007)A Model of Mortgage Default (2011)Mortgage Market Design* (2012)Interest Rates and Equity Extraction During the Housing Boom (2013)House Price Beliefs And Mortgage Leverage Choice (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Risk Assessment for Banking Systems (2006)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)What moves housing markets: A variance decomposition of the rent–price ratio (2009)Recourse and Residential Mortgage Default: Evidence from US States (2011)Breakeven Budgeting and Programming to Goals (1963)Strategic Risk: An Ordinal Approach (1992)Time will tell: behavioural scoring and the dynamics of consumer credit assessment (2001)
this work references cited by second hop

References

  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2009The Rise in Mortgage Defaults720 cited
  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 2008Negative equity and foreclosure: Theory and evidence560 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • 2010What “Triggers” Mortgage Default?310 cited
  • 2008An Empirical Model of Subprime Mortgage Default From 2000 to 2007150 cited
  • 1993Mortgage Prepayment and Default Decisions: A Poisson Regression Approach127 cited
  • 1962Estimation of the Allowance for Doubtful Accounts by Markov Chains112 cited
  • 2013Unemployment, Negative Equity, and Strategic Default75 cited
  • 1947The Federal Reserve Bank Of Atlanta45 cited
  • 2012Credit loss and systematic loss given default33 cited
  • 1999Using Markov Chains to Estimate Losses from a Portfolio of Mortgages18 cited

Cited by

  • 2015Stress in Suburbia: Counting the Costs of Ireland's Property Crash and Mortgage Arrears Crisis

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16 cited