Analysis of Default and Prepayment Risk of Banking Mortgages

This paper presents evidence on the issue in the behaviour of default and prepayment using data from the 7 banks in Taiwan. Our focus in this paper is on the issue of model selection and the criteria which should be used and hence the discussion of the values of the estimated coefficients, parse, is somewhat brief. Meanwhile, in order to establish an understanding of the characteristics of prepayments and overdue repayments across borrowers, the analysis of the historical data of mortgages offered by the banking industry in Taiwan is the first priority and essential.