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The Journal of Structured Finance

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Automatic Spline Knot Selection in Modeling Mortgage Loan Default Using Shape Constrained Regression

Guangning Xu, Geng Deng, Xindong Wang and Ken Fu
The Journal of Structured Finance Fall 2021, 27 (3) 18-36; DOI: https://doi.org/10.3905/jsf.2021.1.123
Guangning Xu
is a vice president at Wells Fargo & Company in Charlotte, NC
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Geng Deng
is a senior vice president at Wells Fargo & Company in McLean, VA
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Xindong Wang
is a senior vice president at Wells Fargo & Company in McLean, VA
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Ken Fu
is a managing director at Wells Fargo & Company in McLean, VA
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The Journal of Structured Finance: 27 (3)
The Journal of Structured Finance
Vol. 27, Issue 3
Fall 2021
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Automatic Spline Knot Selection in Modeling Mortgage Loan Default Using Shape Constrained Regression
Guangning Xu, Geng Deng, Xindong Wang, Ken Fu
The Journal of Structured Finance Oct 2021, 27 (3) 18-36; DOI: 10.3905/jsf.2021.1.123

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Automatic Spline Knot Selection in Modeling Mortgage Loan Default Using Shape Constrained Regression
Guangning Xu, Geng Deng, Xindong Wang, Ken Fu
The Journal of Structured Finance Oct 2021, 27 (3) 18-36; DOI: 10.3905/jsf.2021.1.123
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  • Article
    • Abstract
    • MODEL MORTGAGE DEFAULT RATE
    • LOAN-LEVEL DATA DESCRIPTION
    • DATA PROCESSING
    • AUTOMATIC KNOT SELECTION WITH QSC-MLE
    • CONNECTING THE COXPH MODEL WITH THE LOGISTIC REGRESSION
    • MORTGAGE DEFAULT MODEL USING QSC-MLE
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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