Competing Risks Models using Mortgage Duration Data under the ProportionalHazards Assumption

This paper demonstrates two important results related to the estimation of a competing risks model under the proportional hazards assumption with grouped duration data, a model that has become the canonical model for the termination of mortgages with prepayment and default as two competing risks. Fi...

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Veröffentlicht in:	The Journal of real estate research 2012-01, Vol.34 (1), p.1-26
Hauptverfasser:	An, Mark, Qi, Zhikun
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Assumptions Competing risks models Mortgages Termination
Online-Zugang:	Volltext
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