Impact of mortgage soft information in loan pricing on default prediction using machine learning
- Publisher:
- WILEY
- Publication Type:
- Journal Article
- Citation:
- International Review of Finance, 2023, 23, (1), pp. 158-186
- Issue Date:
- 2023
Open Access
Copyright Clearance Process
- Recently Added
- In Progress
- Open Access
This item is open access.
We analyze the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual default probabilities of approximately 3%. Soft information has a lesser impact over time and time since origination. Lenders rely more on soft information for high-risk borrowers. Our study evidences the importance of soft information collected at loan origination.
Please use this identifier to cite or link to this item: