An empirical comparison of classification algorithms for mortgage default prediction: evidence from a distressed mortgage market
This paper evaluates the performance of a number of modelling approaches for future mortgage default status. Boosted regression trees, random forests, penalised linear and semi-parametric logistic regression models are applied to four portfolios of over 300,000 Irish owner-occupier mortgages. The ma...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2016-03-01.
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| Subjects: | |
| Online Access: | Get fulltext |