Диссертация (1138316), страница 29
Текст из файла (страница 29)
– 2013. – Vol. 17(1). – P. 1–33.82. Campbell J.Y., Cocco J.F. (2011). A model of mortgage default //working paper, National Bureau of Economic Research.83.Carbó-Valverde S., Rosen R.J., Rodríguez-Fernández F. (2013). Arecovered bonds a substitute for mortgage-backed securities? // 26thAustralasian Finance and Banking Conference.84.Carty L.V., Lieberman D. (1996). Defaulted Bank Loan Recoveries// Moody’s Investors Service, Global Credit Research, SpecialReport.85.Chen J., Deng Y. (2013).
Commercial Mortgage Workout Strategyand Conditional Default Probability: Evidence from Special ServicedCMBS Loans // The Journal of Real Estate Finance andEconomics. – 2013. – Vol. 46(4). – P. 609–632.86.Ciochetti B.A., Deng Y., Lee G., Shilling J., Yao R. (2003).A Proportional Hazards Model of Commercial Mortgage Defaultwith Originator Bias // The Journal of Real Estate Finance andEconomics.
– 2003. – Vol. 27(1). – P. 5–23.87.Clapp J.M., Goldberg G.M., Harding J.P., LaCour-Little M. (2001).Movers and shuckers: interdependent prepayment decisions.Estate Economics. – 2001. –Vol. 29(3). – P. 411–450.185//Real88.Corbae D., and Quintin E. (2010). Mortgage Innovation and theForeclosure Boom // working paper, University of Texasand University of Wisconsin.89. Crook J.N., Edelman D.B., Thomas L.C. (2007). Recentdevelopments in consumer credit risk assessment // European Journalof Operational Research.
– 2007. – Vol. 183(3). – P. 1447–1465.90.Das M., Newey W.K., Vella F. (2003). Nonparametric Estimationof Sample Selection Models // The Review of Economic Studies. –2003. – Vol. 70(1). – P. 33–58.91.Deng Y., Pavlov A.D., Yang L. (2005). Spatial heterogeneityin mortgage terminations by refinance, sale and default. // RealEstate Economics. – 2005. – Vol. 33(4).
– P. 739– 764.92.Deng Y., Quigley J.M., Order R. (2000). Mortgage terminations,heterogeneity and the exercise of mortgage options // Econometrica.– 2000. – Vol. 68(2). – P. 275–307.93.Dermine J., Carvalho C.N. de. (2006). Bank loan losses-givendefault: A case study // Journal of Banking and Finance. – 2006. –Vol. 30(4).
– P. 1219–1243.94.Ding L., Quercia R.G., Ratcliffe J. (2008). Post-purchase counselingand default resolutions among low-and moderate-income borrowers// Journal of Real Estate Research. – 2008. – Vol. 30(3). – P. 315–344.95.Ding, L., Quercia R.G., Li W., Ratcliffe J. (2011). Risky Borrowersor Risky Mortgages: Disaggregating Effects Using Propensity ScoreModels // Journal of Real Estate Research.
– 2011. – Vol. 33(2). –P. 245–277.96.Felsovalyi A., Hurt L. (1998). Measuring loss on Latin Americandefaulted bank loans: a 27-year study of 27 countries // Journal186of Lending and Credit Risk Management. – 1998. – Vol. 80. – P. 41–46.97.Follain J.R. (1990). Mortgage Choice // Real Estate Economics. –1990. – Vol. 18(2). – P.
125–144.98.Follain J.R., Ondrich J. (1997). Ruthless Prepayment? Evidencefrom Multi-family Mortgages // Journal of Urban Economics. –1997 – Vol. 41 (1). – P. 78–101.99.Foote C.L., Gerardi K., Willen, P.S. (2008). Negative equityand foreclosure: Theory and evidence. // Journal of UrbanEconomics. –2008. – Vol. 64(2). – P. 234–245.100.Friedman C., Sandow S. (2003). Recovery rates: Ultimaterecoveries // Risk-London-Risk Magazine Limited. – 2003. –Vol.
16(8). – P. 69–73.101.Frye J., Ashley L., Bliss R., Cahill R., Calem P., Foss M., Nelson,J. (2000). Collateral damage: A source of systematic credit risk //Risk. – 2000. – Vol. 13(4). – P. 91–94.102.Gerardi, K., Rosen H.S., P. Willen (2006). Do Households Benefitfrom Financial Deregulation and Innovation? The Case of theMortgage Market // Federal Reserve Bank of Boston DiscussionPaper 06–6.103.Gupton G.M., Stein R.M. (2005). LossCalc V2: DynamicPrediction of LGD Modeling Methodology // working paper,Moody’s KMV.104.Gürtler M., Hibbeln M.
(2011). Pitfalls in modeling loss givendefault of bank loans // working paper, Technische UniversitätBraunschweig.105.Green J., Shoven J.B. (1986). The effect of interest rateson mortgage prepayment // Journal of Money, Credit and Banking.
–1986. Vol. 18. – P. 41–50.187106.Guiso L., Sapienza P., Zingales L. (2013). The Determinantsof Attitudes toward Strategic Default on Mortgages: Attitudestoward Strategic Default // Journal of Finance. – 2013. –Vol. 68(4). – P. 1473–1515.107.Heckman J. (1976). The Common Structure of Statistical Modelsof Truncation, Sample Selection, and Limited Dependent Variablesand a Sample Estimator for Such Models // Annals of Economicand Social Measurement. – 1976. – Vol. 5(4). – P. 475–492.108.Heckman J.
(1979). Sample selection bias as a specification error //Econometrica, 1979. – Vol. 47 (1). – P. 153–161.109.Huang X., Oosterlee C.W. (2012). Generalized beta regressionmodels for random loss-given-default // Journal of Credit Risk. –2012. – Vol. 4(7). – P. 45–70.110.Jackson J.R., Kaserman D.L. (1980). Default Risk on HomeMortgage Loans: A Test of Competing Hypotheses // Journal of RiskInsurance.
– 1980. – Vol. 47(4). – P. 678–690.111.Jarrow R. (2001). Default parameter estimation using market prices// Financial Analysts Journal. – 2001. – Vol. 57(5). – P. 75–92.112.Khmelnitskaya M. (2014). Russian housing finance policy: state-ledinstitutional evolution // Post-Communist Economies. – 2014. –Vol.
26(2). – P. 149–175.113.Kumar P.R., Ravi V. (2007). Bankruptcy prediction in banksand firms via statistical and intelligent techniques – A review //European Journal of Operational Research. – 2007. – Vol. 180(1). –P. 1–28.114.LaCour-Little M., MalpezziS. (2003).
AppraisalQualityand Residential Mortgage Default: Evidence from Alaska // Journalof Real Finance and Economics. – 2003. – Vol. 27(2). – P. 211–233.188115.LaCour-Little M., Marschoun M., Maxam C.L. (2002). ImprovingParametric Mortgage Prepayment Models with Non-parametricKernel Regression // Journal of Real Estate Research. – 2002. –Vol. 24(3). – P.
299–328.116.LaCour-Little M., Maxam C.L. (2001). Applied NonparametricRegression Techniques: Estimating Prepayments on Fixed-RateMortgage-BackedSecurities//JournalofRealFinanceand Economics. – 2001. – Vol 23(2). – P. 139–160.117.LaCour-Little M., Yang J. (2010). Pay Me Now or Pay Me Later:Alternative Mortgage Products and the Mortgage Crisis // Journalof Real Estate Economics. – 2010. – Vol. 38(4).
– P. 687–732.118.LaCour-Little M., Zhang Y. (2014). Default Probability and LossGiven Default for Home Equity Loans // working paper, 2014, P. 1–21.119.Lanine G., Vennet R.V. (2006). Failure prediction in the Russianbank sector with logit and trait recognition models // Expert Systemswith Applications.
– 2006. – Vol. 30(3). – P. 463–478.120.Lekkas V., Quigley J.M., Order R. (1993). Loan Loss Severityand Optimal Mortgage Default // American Real Estate and UrbanEconomics Association Journal. – 1993. – Vol. 21(4). – P. 353–371.121.Leow M., Mues C. (2012). Predicting loss given default (LGD)for residential mortgage loans: A two-stage model and empiricalevidence for UK bank data // International Journal of Forecasting. –2012. – Vol. 28(1). – P. 183–195.122.Li D., Bhariok R., Keenan S., Santilli S. (2009). Validationtechniques and performance metrics for loss given default models //Journal of Risk Model Validation.
– 2009. – Vol. 3(3). – P. 3–26.189123.Mayer C., Pence K., Sherlund S.M. (2009). The Rise in MortgageDefaults // The Journal of Economic Perspectives. – 2009. –Vol. 23(1). – P. 27–50.124.Miu P., Ozdemir B. (2006). Basel Requirement of Downturn LGD:Modeling and Estimating PD & LGD Correlations // Journalof Credit Risk. – 2006. – Vol. 2(2).
– P. 43–68.125.Munnell A., Tootell G., Browne L., McEneaney J. (1996).Mortgage Lending in Boston: Interpreting HMDA Data // AmericanEconomic Review. – 1996. – Vol. 86. – P. 25–53.126.Ozhegov E.M., Poroshina A.M. (2013). The lagged structureof dynamic demand function for mortgage loans in Russia //EJournal of Corporate Finance.
– 2013. – Vol. 3(27). – P. 37–49.127.Papke L., Wooldridge J.M. (1996). Econometric methods forfractional response variables with an application to 401(K) planparticipation rates // Journal of Applied Economics. – 1996. –Vol. 6(11). – P. 619–632.128.Pavlov A.D. (2001). Competing risks of mortgage termination: whorefinances, who moves, and who defaults? // The Journal of RealEstate Finance and Economics. – 2001. – Vol.
23(2). – P. 185–211.129.Pennington-Cross A. (2003). Subprime and prime mortgages: Lossdistributions // working paper.130.Pennington-Cross A., Ho G. (2010). The Termination of SubprimeHybrid and Fixed Rate Mortgages // Real Estate Economics. – 2010.– Vol. 38(3). – P. 399–426.131.Pereira T.L., Cribari-Neto F. (2010).
A test for correct modelspecification in inflated beta regressions // working paper, Institutede Matematica, Estatistica e Computaceo Cientifica UniversidadeEstadual de Campinas.190132.Peresetsky A.A.,Karminsky A.A.,GolovanS.V.(2011).Probability of default models of Russian banks // Economic Changeand Restructuring. – 2011. – Vol. 44(4). – P. 297–334.133.Phillips R., Yezer A. (1996). Self-Selection and Tests for Bias andRisk in Mortgage Lending: Can You Price the Mortgage If YouDon't Know the Process? // Journal of Real Estate Research.
– 1996.– Vol. 11. – P. 87–102.134.Piazzesi M., Schneider M., Tuzel S. Housing, consumptionand asset pricing // Journal of Financial Economics. – 2007. – Vol.83(3). – P. 531–569.135.Piskorski, T., Tchistyi A. (2010). Optimal Mortgage Design //Review of Financial Studies. – 2010. – Vol. 23(8). – P. 3098–3140.136.Poirier D.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
