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Statistical Risk Analysis for Real Estate Collateral Valuation using Bayesian Distributional and Quantile Regression
Razen, Alexander; Brunauer, Wolfgang; Klein, Nadja; … - Institut für Finanzwissenschaft, Fakultät für … - 2014
The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...
Persistent link: https://www.econbiz.de/10010761742
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Random scaling factors in Bayesian distributional regression models with an application to real estate data
Razen, Alexander; Lang, Stefan - 2016
Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation …
Persistent link: https://www.econbiz.de/10011622777
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Estimation of spatially correlated random scaling factors based on Markov random field priors
Razen, Alexander; Lang, Stefan; Santer, Judith - 2016
Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive …
Persistent link: https://www.econbiz.de/10011622779
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Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression
Razen, Alexander; Brunauer, Wolgang; Klein, Nadja; … - 2014
The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...
Persistent link: https://www.econbiz.de/10010397175
Cover Image
Random scaling factors in Bayesian distributional regression models with an application to real estate data
Razen, Alexander; Lang, Stefan - 2016
Monte Carlo (MCMC) algorithms. We investigate the statistical properties of our approach within extensive simulation …
Persistent link: https://www.econbiz.de/10011549047
Cover Image
Statistical risk analysis for real estate collateral valuation using Bayesian distributional and quantile regression
Razen, Alexander; Brunauer, Wolgang; Klein, Nadja; … - 2014
The Basel II framework strictly defines the conditions under which financial institutions are authorized to accept real estate as collateral in order to decrease their credit risk. A widely used concept for its valuation is the hedonic approach. It assumes, that a property can be characterized...
Persistent link: https://www.econbiz.de/10010354740
Cover Image
Estimation of spatially correlated random scaling factors based on Markov random field priors
Razen, Alexander; Lang, Stefan; Santer, Judith - 2016
Carlo (MCMC) algorithms and is smoothly incorporated into the framework of distributional regression. We run a comprehensive …
Persistent link: https://www.econbiz.de/10011578941