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Article

Frailty Models for Commercial Mortgages

Xi Chen, Eric Ghysels and Roland Telfeyan
The Journal of Fixed Income Fall 2016, 26 (2) 16-31; DOI: https://doi.org/10.3905/jfi.2016.26.2.016
Xi Chen
is a PhD student in the Department of Statistics and Operations Research at the University of North Carolina at Chapel Hill in Chapel Hill, NC.
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  • For correspondence: xich@live.unc.edu
Eric Ghysels
is the Bernstein Distinguished Professor of Economics and Professor of Finance in the Kenan-Flagler Business School at the University of North Carolina at Chapel Hill in Chapel Hill, NC.
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  • For correspondence: eghysels@email.unc.edu
Roland Telfeyan
is a managing partner at MBSRISK LLC in New York, NY.
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  • For correspondence: roland@mbsrisk.com
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Abstract

This article presents a reduced-form model that contains frailty factors to predict mortgage default and develops a novel framework to model systematic risk of mortgages. We match default rates along multiple dimensions by extending the generalized autoregressive score (GAS) models. Our data consist of commercial mortgages in the U.S. retail market, ranging from 1997 to 2013, and contain more than 2 million records. Our most complex model incorporates 15 frailty factors. Nevertheless, the estimation process only takes two minutes with a standard desktop computer. Many competing models require simulations and are, in comparison, time consuming when a large dataset is used.

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The Journal of Fixed Income: 26 (2)
The Journal of Fixed Income
Vol. 26, Issue 2
Fall 2016
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Frailty Models for Commercial Mortgages
Xi Chen, Eric Ghysels, Roland Telfeyan
The Journal of Fixed Income Sep 2016, 26 (2) 16-31; DOI: 10.3905/jfi.2016.26.2.016

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Frailty Models for Commercial Mortgages
Xi Chen, Eric Ghysels, Roland Telfeyan
The Journal of Fixed Income Sep 2016, 26 (2) 16-31; DOI: 10.3905/jfi.2016.26.2.016
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