Raffaella Calabrese (University of Edinburgh Business School) will visit the bigNOMICS project on February 17th and 18th. Let us know if you are interested in talking to her. The seminar is scheduled on Tuesday 18/2 at 2pm in the social area of building 46i.
title: Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
Abstract: This paper proposes a spatial discrete survival model to estimate the time to default for UK mortgages. The model includes a flexible parametric link function given by the Generalised Extreme Value Distribution and a dynamic spatially varying baseline hazard function to capture neighborhood effects over time. We incorporate time and space varying variables into the model using the Gibbs sampling algorithm. The gains of the proposed model are illustrated through the analysis of a dataset on around 74,000 mortgage loans issued in England and Wales from 2006 to 2015.