This paper builds on the established two-stage modeling framework for retail mortgages in which loss given default is computed as the product of property possession given default probability and loss given possession. In deriving the former, previous studies have suffered from a lack of clarity in their definitions of the post default outcomes of “cure” (no loss) and “possession” (some loss). The present study remedies this through the use of competing risks survival analysis, where to cure requires completion of a probationary period in which accounts return to nondefault status only when the ability to make repayments is demonstrated for a certain number of consecutive months (a recent regulatory requirement of the European Banking Authority). For loss given possession the distribution of survival time until this event can be conveniently used to appreciate the discounting of future receivables from property sale.

中文翻译：

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在竞争风险生存模型中解决因违约而导致零售抵押贷款损失的试用期

本文建立在已建立的零售抵押贷款两阶段建模框架的基础上，在该框架中，违约损失计算为违约概率下的财产占有与占有损失的乘积。在推导前者时，先前的研究对“治愈”（无损失）和“拥有”（一些损失）的违约后结果的定义缺乏明确性。本研究通过使用竞争风险生存分析来解决这个问题，其中需要完成一个试用期，在该试用期中，只有当连续几个月的偿还能力得到证明时，账户才会恢复到非违约状态（最近的监管欧洲银行管理局的要求）。