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Deep Learning for Mortgage Risk · Study

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PreprintDeep Learning for Mortgage Risk

Justin A. Sirignano2018

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Preprintgreen2018

Deep Learning for Mortgage Risk

Justin A. Sirignano · Apaar Sadhwani · Kay Giesecke

125 citations·0/0 files stored·SSRN Electronic Journal

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Housing Market and Economics Credit Risk and Financial Regulations Financial Distress and Bankruptcy Prediction

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References

2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 2008In Search of Distress Risk 2000Neural network credit scoring models 2006Multi-period corporate default prediction with stochastic covariates 2011Forced Sales and House Prices 2010Consumer credit-risk models via machine-learning algorithms 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

Cited by

2018Deep Learning for Predicting Asset Returns 2018Risk Analysis for Large Pools of Loans 2018Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning 2019Machine learning in empirical asset pricing 2015Large-Scale Loan Portfolio Selection 2020Deep Neural Networks for Behavioral Credit Rating

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2020Deep Learning for Mortgage Risk*article · 27 shared references 2002A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminationschapter · 7 shared references 2016The Effect of Mortgage Securitization on Foreclosure and Modificationarticle · 7 shared references 2002A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminationsarticle · 7 shared references 2018Risk Analysis for Large Pools of Loansarticle · 7 shared references 2015Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Marketarticle · 6 shared references

Details

Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations125

Files0 public / 0

ShelfHousing Market and Economics

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doi10.2139/ssrn.2799443

openalex_workW2471243427

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2021

Leave-one-out Unfairness

2021Predicting Delinquency on Mortgage Loans: An Exhaustive Parametric Comparison of Machine Learning Techniques