Homemortgageloanlendingfirmsareexposedtomanybusinessrisks.Thispaperfocusesonthemortgageloanborrowerrisksandproposesaprospectivelossanalysisapproachinregardtoloanrepaymentdefaultsofborrowers.Forthispurpose,apredictivemodelingispresentedinthreestages.Inthefirststage,occurrenceofborrowerdefaultsinamortgageloansportfolioismodeledthroughthegeneralizedlinearmodels(GLMs)typeregressionsforwhichwespecifyalogisticdistributionfordefaultevents.Thesecondstageofmodelingdevelopsasurvivalanalysisinordertoestimatesurvivalprobabilityandhazardratefunctionsforindividualloans.Ultimately,anexpectablelossamountmodelispresentedinthethirdstageasafunctionofconditionalsurvivalprobabilitiesandcorrespondinghazardratesatloanlevels.Throughoutallmodelingstages,alargeandrealdatasetisusedasanempiricalanalysiscasebywhichdetailedinterpretationsandpracticalimplicationsoftheobtainedresultsarestated.
