JSM 2015 Preliminary Program

Online Program Home
My Program

Abstract Details

Activity Number: 588
Type: Topic Contributed
Date/Time: Wednesday, August 12, 2015 : 2:00 PM to 3:50 PM
Sponsor: Biometrics Section
Abstract #317657
Title: Estimation of Transformation Model for Mortgage Prepayment Data
Author(s): Junyi Zhang*
Companies:
Keywords: mortgage prepayment ; transformation model ; non-parametric ; self-induced smoothing
Abstract:

The paper is focused on the analysis of time to prepayment for a loan-level mortgage data set from Freddie. A general transformation model is used to model the association between the time-to-prepay and loan characteristics. The general transformation model is estimated by a self-induced smoothing non-parametric method. The fit of the model is compared with those of other semi-parametric models as well as parametric ones.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2015 program





For program information, contact the JSM Registration Department or phone (888) 231-3473.

For Professional Development information, contact the Education Department.

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

2015 JSM Online Program Home