arXiv q-fin· Arka P. Bandyopadhyay·· 13 hr agoAI Score38
How to Distinguish Liquidity-Constrained Default from Strategic Default Using Deep Learning
Disentangling Liquidity-Constrained from Strategic Default: A Deep Learning Approach
AI summary
Researchers used proprietary panel data of commercial mortgages from 1998 to 2021 and adopted deep neural networks (DNN) to distinguish liquidity-constrained default from strategic default. The study found that, under delinquency conditions, property net operating income (NOI) has a more significant impact on default rates than loan-to-value ratio (LTV), and the threshold for dividing the two types of defaults remained stable during the 2008 financial crisis and the 2020-2021 COVID-19 commercial real estate shock.
Source:arXiv q-fin · arxiv.org
Machine LearningMacro and Interest RatesPaper Research#Papers / Research#Machine Learning#Fixed Income#arXiv