| dc.contributor.author | Wilson, Simon | |
| dc.contributor.author | Bhattacharya, Arnab | |
| dc.contributor.author | Soyer, Refik | |
| dc.date.accessioned | 2019-12-20T11:35:13Z | |
| dc.date.available | 2019-12-20T11:35:13Z | |
| dc.date.created | 2019 | en |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019 | en |
| dc.identifier.citation | Bhattacharya, A., Wilson, S.P. & Soyer, R., A Bayesian approach to modeling mortgage default and prepayment, European Journal of Operational Research, 274, 3, 2019, 1112 - 1124 | en |
| dc.identifier.other | Y | |
| dc.description | PUBLISHED | en |
| dc.description.abstract | In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed. | en |
| dc.format.extent | 1112 | en |
| dc.format.extent | 1124 | en |
| dc.language.iso | en | en |
| dc.relation.ispartofseries | European Journal of Operational Research; | |
| dc.relation.ispartofseries | 274; | |
| dc.relation.ispartofseries | 3; | |
| dc.rights | Y | en |
| dc.subject | Reliability | en |
| dc.subject | Poportional hazards model | en |
| dc.subject | Competing risks | en |
| dc.subject | MCMC | en |
| dc.title | A Bayesian approach to modeling mortgage default and prepayment | en |
| dc.type | Journal Article | en |
| dc.type.supercollection | scholarly_publications | en |
| dc.type.supercollection | refereed_publications | en |
| dc.identifier.peoplefinderurl | http://people.tcd.ie/swilson | |
| dc.identifier.rssinternalid | 204128 | |
| dc.identifier.doi | http://dx.doi.org/10.1016/j.ejor.2018.10.047 | |
| dc.rights.ecaccessrights | openAccess | |
| dc.identifier.rssuri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056344764&doi=10.1016%2fj.ejor.2018.10.047&partnerID=40&md5=e9031c5f46c5843af8d5b953f6c62c77 | |
| dc.identifier.orcid_id | 0000-0003-0312-3586 | |
| dc.identifier.uri | http://hdl.handle.net/2262/91215 | |
