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Embedded Options in the Mortgage Contract

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Author Info
Brent W. Ambrose
Richard J. Buttimer Jr.

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Abstract

This paper introduces a more detailed specification of the default process on single family residential mortgages: the borrower’s ability to reinstate the mortgage out of default prior to foreclosure. Inclusion of this detail allows for a more thorough analysis of lender loss mitigation programs. We find: Loan forebearance programs which provide borrowers additional time in default lead to higher delinquency rates; however, there is a corresponding increase in the odds of borrower reinstatement. In areas with stable house prices, optimal loss mitigation programs provide provide an economic incentive for the borrower to cure in conjunction with seeking deficiency judgments. Waiving default penalties is not effective in reducing default costs. Borrower assumptions concerning credit reputation significantly impact default and foreclosure. Lenders need to reinforce the impression that default will negatively impact future credit opportunities.

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Publisher Info
Paper provided by Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania in its series Zell/Lurie Center Working Papers with number 305.

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Date of creation: 03 Jul 1998
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Handle: RePEc:wop:pennzl:305

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  1. David Feldman & Shulamith Gross, 2005. "Mortgage Default: Classification Trees Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 369-396, June. [Downloadable!] (restricted)
  2. Richard K. Green & George M. Jabbour & Yi-Kang Liu, 2006. "The Performance of Default Risk Structural Models on Commercial Mortgages: An Empirical Investigation," Working Papers 0014, School of Business, The George Washington University. [Downloadable!]
  3. Lynn Fisher & Abdullah Yavas, 2007. "The Value of Equitable Redemption in Commercial Mortgage Contracting," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 411-425, November. [Downloadable!] (restricted)
  4. Che-Chun Lin & Ting-Heng Chu & Larry Prather, 2006. "Valuation of Mortgage Servicing Rights with Foreclosure Delay and Forbearance Allowed," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 41-54, February. [Downloadable!] (restricted)
  5. Ozgur Emre Ergungor, 2007. "Foreclosures in Ohio: does lender type matter?," Working Paper 0724, Federal Reserve Bank of Cleveland. [Downloadable!]
  6. Brent Ambrose & Anthony Sanders, 2004. "Legal Restrictions in Personal Loan Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 30(2), pages 133-151, November. [Downloadable!] (restricted)
  7. Seow Ong & Tien Sing & Alan Teo, 2007. "Delinquency and Default in Arms: The Effects of Protected Equity and Loss Aversion," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 253-280, October. [Downloadable!] (restricted)
  8. Lynn Fisher, 2006. "Renegotiation in the Common Law Mortgage and the Impact of Equitable Redemption," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 61-82, February. [Downloadable!] (restricted)
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