This manuscript explores the use of artificial neural networks in the modeling of foreclosure of commercial mortgages. The study employs a large set of individual loan histories previously used in the literature of proportional hazard models on loan default. Radial basis function networks are...

The use of artificial neural networks in the modeling of foreclosure of commercial mortgages is explored by employing a large set of individual loan histories previously used in the literature of proportional hazard models, and specifically in Vandell et al (JAREUEA: 21(4), 451-480). Radial...

This paper compares the forecasting accuracy between the logistic and the proportional hazard prepayment models. Using monthly prepayment data over the period 1/1986-12/1994, the models reveal the impact of five factors on conditional and unconditional prepayments: 1) refinancing incentive, 2)...

Previous research on modeling the Eleventh District Costs-of-fund Index (COFI) has disregarded the long-run cointegrating relationship between the COFI and the market rates, the dynamic nature of the COFI distribution, and the fact that the sampling distribution of the COFI is not Normal. This...