التفاصيل البيبلوغرافية
| العنوان: |
Impact of mortgage soft information in loan pricing on default prediction using machine learning |
| المؤلفون: |
Thi Mai Luong, Harald Scheule, Nitya Wanzare |
| المصدر: |
International Review of Finance Ltd., International Review of Finance. 23(1):158-186 |
| سنة النشر: |
2023 |
| الوصف: |
We analyze the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual default probabilities of approximately 3%. Soft information has a lesser impact over time and time since origination. Lenders rely more on soft information for high‐risk borrowers. Our study evidences the importance of soft information collected at loan origination. |
| نوع الوثيقة: |
redif-article |
| اللغة: |
English |
| DOI: |
10.1111/irfi.12392 |
| الإتاحة: |
https://ideas.repec.org/a/bla/irvfin/v23y2023i1p158-186.html |
| رقم الأكسشن: |
edsrep.a.bla.irvfin.v23y2023i1p158.186 |
| قاعدة البيانات: |
RePEc |
