Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework
Compares Markov chain, beta regression and multinomial logistic regression for loan default term-structures on mortgage data and reports successive outperformance plus new diagnostics.