Date of Award

Spring 5-19-2017

Author's School

Graduate School of Arts and Sciences

Author's Department

Mathematics

Additional Affiliations

Statistics

Degree Name

Master of Arts (AM/MA)

Degree Type

Thesis

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.

Language

English (en)

Chair and Committee

Jimin Ding

Committee Members

Todd Kuffner, Renato Feres

Comments

Permanent URL: https://doi.org/10.7936/K72B8WGC

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