An, Xudong; Deng, Yongheng; Rosenblatt, Eric; Yao, Vincent - In: The Journal of Real Estate Finance and Economics 45 (2012) 3, pp. 545-568
We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time. Due to temporal shifts...
