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...

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...

This paper introduces serial defaults in the structural model of Jeanneret (2015. Journal of Financial and Quantitative Analysis 50, 963-985). We consider a government that can default multiple times, deciding endogenously the default thresholds and the optimal leverage. Under the extended...

We develop a structural model that accounts for guarantor risk and state-dependent withdrawals that induce liquidity funding costs for the bank. The severity of these costs increases near the default barrier, where depositors run on the bank for fear of a costly recovery. The introduced...

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...