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1. Introduction
2. The financial crisis
3. Evolution in the UK housing market
4. Modelling in light of the financial crisis
5. Outline
6. Mortgage defaults: some definitions
7. Reminiscent of the early 1990s
8. "Riskier" mortgages
9. Further differences
10. Drivers of mortgage default
11. Econometric models of mortgage default
12. VAR model of default variables
13. Data for default variables
14. VAR estimation
15. Estimated coefficients of VAR
16. VARX, incorporating default drivers
17. Data for exogenous variables
18. Estimated Coefficients of VARX
19. TVAR, a nonlinear relationship
20. TVAR estimation
21. Example: unemployment as regime indicator
22. Forecast competition
23. Forecast evaluation
24. Discussion of results
25. Conclusions
26. Thank you
27. 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on July 19, 2010
• Updated on November 29, 2010
• Archived on April 4, 2022