# A Bayesian approach to modeling mortgage default and prepayment

## TL;DR

This paper introduces a Bayesian competing risk proportional hazards model to analyze mortgage defaults and prepayments, utilizing MCMC methods for inference and demonstrating its application on real data.

## Contribution

It presents a novel Bayesian modeling framework for mortgage risk analysis, incorporating competing risks and Bayesian inference techniques.

## Key findings

- Effective modeling of default and prepayment risks.
- Insights gained from Bayesian analysis of mortgage data.
- Demonstration of model applicability on real datasets.

## Abstract

In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed.