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Time to default in the UK mortgage market


  • Lambrecht, Bart
  • Perraudin, William
  • Satchell, Stephen


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  • Lambrecht, Bart & Perraudin, William & Satchell, Stephen, 1997. "Time to default in the UK mortgage market," Economic Modelling, Elsevier, vol. 14(4), pages 485-499, October.
  • Handle: RePEc:eee:ecmode:v:14:y:1997:i:4:p:485-499

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    References listed on IDEAS

    1. Kerry D. Vandell, 1993. "Handing Over the Keys: A Perspective on Mortgage Default Research," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 211-246.
    2. Ncube, M. & Satchell, S.E., 1995. "Modelling U.K. Mortgage Defaults Using a Hazard Approach Based on American Options," Cambridge Working Papers in Economics 9408, Faculty of Economics, University of Cambridge.
    3. Thomas M. Springer & Neil G. Waller, 1993. "Lender Forbearance: Evidence from Mortgage Delinquency Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 27-46.
    4. von Furstenberg, George M, 1969. "Default Risk on FHA-Insured Home Mortgages as a Function of the Terms of Financing: A Quantitative Analysis," Journal of Finance, American Finance Association, vol. 24(3), pages 459-477, June.
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    Cited by:

    1. Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," Economics Series Working Papers 499, University of Oxford, Department of Economics.
    2. Aron, Janine & Muellbauer, John, 2016. "“Modelling and forecasting mortgage delinquency and foreclosure in the UK.”," Journal of Urban Economics, Elsevier, vol. 94(C), pages 32-53.
    3. 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.
    4. Taylor, Mark P. & Pevalin, David J. & Todd, Jennifer, 2006. "The psychological costs of unsustainable housing commitments," ISER Working Paper Series 2006-08, Institute for Social and Economic Research.
    5. Mitropoulos, Atanasios & Zaidi, Rida, 2009. "Relative indicators of default risk among UK residential mortgages," MPRA Paper 19619, University Library of Munich, Germany.
    6. Hott, Christian, 2015. "A model of mortgage losses and its applications for macroprudential instruments," Journal of Financial Stability, Elsevier, vol. 16(C), pages 183-194.
    7. Boheim, Rene & Taylor, Mark P., 2000. "My Home Was My Castle: Evictions and Repossessions in Britain," Journal of Housing Economics, Elsevier, vol. 9(4), pages 287-319, December.
    8. John Whitley & Richard Windram & Prudence Cox, 2004. "An empirical model of household arrears," Bank of England working papers 214, Bank of England.
    9. Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
    10. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2016. "Measuring expected time to default under stress conditions for corporate loans," NBP Working Papers 237, Narodowy Bank Polski, Economic Research Department.

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