Abstract
The unexpected increase in loan default on the mortgage market is widely considered to be one of the main cause behind the economic crisis. To provide some insight on loan delinquency and default, I analyze the mortgage performance data from Fannie Mae website and investigate how economic factors and individual loan and borrower information affect the events of default and prepaid. Various delinquency status including default and prepaid are treated as discrete states of a Markov chain. One-step transition probabilities are estimated via multinomial logistic models. We find that in general current loan-to-value ratio, credit score, unemployment rate, and interest rate significantly affect the transition probabilities to different delinquency states, which lead to further default or prepaid events.
Committee Chair
Jimin Ding
Committee Members
Todd Kuffner, Renato Feres
Degree
Master of Arts (AM/MA)
Author's Department
Mathematics
Document Type
Thesis
Date of Award
Spring 5-19-2017
Language
English (en)
DOI
https://doi.org/10.7936/K72B8WGC
Recommended Citation
Yang, Shuyao, "Mortgage Transition Model Based on LoanPerformance Data" (2017). Arts & Sciences Theses and Dissertations. 1055.
The definitive version is available at https://doi.org/10.7936/K72B8WGC
Comments
Permanent URL: https://doi.org/10.7936/K72B8WGC