Modeling and Forecasting Mortgage Foreclosure and Delinquency

Date: 
Tuesday, May 2, 2017 - 4:00pm
Location: 
110 Math Science Building
Speaker: 
Robin Yim (advisor Allanus Tsoi)
(MU Math)

Abstract:

A contributing cause of the Great Recession was the Subprime Mortgage Crisis of 2007-2009, which is marked by a rather sudden increase in foreclosures.  This project will investigate possible causes of the Subprime mortgage crisis. Using regression analysis we see that the housing price index (HPI) is a very good indicator for foreclosure rates.  Therefore, in order to predict future HPI values and thus future foreclosure rates auto-regressive model with the use of the Yule-Walker equations will be implemented.  Furthermore, we will model the behavior of accounts with the development of a Markov Chain, which may be used as a form of a credit risk model.