IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v26y1998i3p259-289.html
   My bibliography  Save this article

The Conditional Probability of Mortgage Default

Author

Listed:
  • Dennis R. Capozza
  • Dick Kazarian
  • Thomas A. Thomson

Abstract

This research examines the implications of contingent-claims models for empirical research on default. We focus on the probability of default over a short horizon given the current state of the world, "i.e.", the conditional probability of default, which more closely resembles the estimates of empirical models. We highlight the differences between the conditional and unconditional approaches and provide guidance for empirical research by illuminating situations where the expected sign reverses over the shorter horizon or where the functional form is highly nonlinear. Copyright American Real Estate and Urban Economics Association.

Suggested Citation

  • Dennis R. Capozza & Dick Kazarian & Thomas A. Thomson, 1998. "The Conditional Probability of Mortgage Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 259-289.
  • Handle: RePEc:bla:reesec:v:26:y:1998:i:3:p:259-289
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00750
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chao Tian & Roberto Quercia & Sarah Riley, 2016. "Unemployment as an Adverse Trigger Event for Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 28-49, January.
    2. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Asian Real Estate Society, vol. 5(1), pages 169-195.
    3. Robert Feinberg & David Nickerson, 2002. "Crime and residential mortgage default: an empirical analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 9(4), pages 217-220.
    4. Ebrahim, M. Shahid & Shackleton, Mark B. & Wojakowski, Rafal M., 2011. "Participating mortgages and the efficiency of financial intermediation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3042-3054, November.
    5. 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.
    6. Xudong An & Yongheng Deng & Eric Rosenblatt & Vincent Yao, 2012. "Model Stability and the Subprime Mortgage Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 545-568, October.
    7. Willemann, Søren, 2005. "GSE Funding Advantages and Mortgagor Benefits: Answers from Asset Pricing," Finance Research Group Working Papers F-2005-04, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Dennis Capozza & Thomas Thomson, 2004. "Optimal Stopping and Losses on Subprime Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 30(2), pages 115-131, November.
    9. O. Emre Ergungor, 2009. "Foreclosures in Ohio: does lender type matter?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    10. Hartarska, Valentina M. & Gonzalez-Vega, Claudio, 2001. "Credit Counseling And Mortgage Loan Default By Rural And Urban Low Income Households," 2001 Annual meeting, August 5-8, Chicago, IL 20740, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    11. Hartarska, Valentina M. & Gonzalez-Vega, Claudio, 2002. "A Comparison Of Option-Theoretic And Choice-Theoretic Approaches To Evaluating Alternative Financial Technologies For Mortgage Loans To Low-Income Households," 2002 Annual meeting, July 28-31, Long Beach, CA 19645, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. David M. Harrison & Thomas G. Noordewier & K. Ramagopal, 2002. "Mortgage Terminations: The Role of Conditional Volatility," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 89-110.
    13. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Chao Yue Tian & Roberto G. Quercia & Sarah Riley, 2016. "Unemployment as an Adverse Trigger Event for Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 28-49, January.
    15. Yan Chang & Abdullah Yavas, 2009. "Do Borrowers Make Rational Choices on Points and Refinancing?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 635-658.
    16. Mikkel Svenstrup & Soren Willemann, 2006. "Reforming Housing Finance - Perspectives from Denmark," Journal of Real Estate Research, American Real Estate Society, vol. 28(2), pages 105-130.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:26:y:1998:i:3:p:259-289. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/areueea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.