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Printable Handouts
Navigable Slide Index
- Introduction
- The financial crisis
- Evolution in the UK housing market
- Modelling in light of the financial crisis
- Outline
- Mortgage defaults: some definitions
- Reminiscent of the early 1990s
- "Riskier" mortgages
- Further differences
- Drivers of mortgage default
- Econometric models of mortgage default
- VAR model of default variables
- Data for default variables
- VAR estimation
- Estimated coefficients of VAR
- VARX, incorporating default drivers
- Data for exogenous variables
- Estimated Coefficients of VARX
- TVAR, a nonlinear relationship
- TVAR estimation
- Example: unemployment as regime indicator
- Forecast competition
- Forecast evaluation
- Discussion of results
- Conclusions
- Thank you
- Selected references
Topics Covered
- Review of the recent financial crisis
- Evolution in the UK housing market
- Modelling strategies
- Drivers of mortgage default
- Econometric models of mortgage default
- Vector Autoregression (VAR) of default variables
- VAR with macroeconomic default drivers
- Threshold VAR: A non-linear relationship
- Forecast competition
- Conclusion: key features for successful modelling of mortgage default
Talk Citation
Wongwachara, W. (2010, November 29). Modelling UK Mortgage Default in Light of the Financial Crisis [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved August 31, 2024, from https://doi.org/10.69645/VTLY1590.Export Citation (RIS)