[Forum SIS] Seminar

[Simone Padoan]

Dear All,

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We are glad to announce the following talk
Thursday, March 14, 2013, 12.30, Room 3-E4-SR03
Bocconi University, via Roentgen 1, Milan.
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by Refik Soyer, The George Washington University, U.S.

Title:
"Assessment of Mortgage Default Risk via Bayesian State Space Models"

Abstract:
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel II framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate mortgage default rate. We discuss parameter updating, filtering, smoothing, forecasting and estimation using Markov chain Monte Carlo methods. In addition, we investigate the dynamic behavior of the default rate and the effects of macroeconomic variables. We illustrate the use of the proposed models using actual U.S. residential mortgage data and discuss insights gained from Bayesian analysis.



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Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5690
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
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