search query: @author Sanchez, S. M. / total: 3
reference: 2 / 3
| Author: | Smith, D. Sanchez, S. M. Lawrence, E. C. |
| Title: | A comprehensive model for managing credit risk on home mortgage portfolios |
| Journal: | Decision Sciences
1996 : SPRING, VOL. 27:2, p. 291-317 |
| Index terms: | DECISION SUPPORT SYSTEMS MARKOV CHAINS RISK ANALYSIS |
| Language: | eng |
| Abstract: | Managing credit risk in financial institutions requires the ability to forecast aggregate losses on existing loans, predict the length of time that loans will be on the books before prepayment or default, analyze the expected performance of particular segments in the prepayment or default, analyze the expected performance of particular segments in the existing portfolio, and project payment patterns of new loans. Described in this paper are tools created for these functions in a large California financial institution. A forecasting model with Markovian structure and nonstationary transition probabilities is used to model the life of a mortgage. |
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