IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Mortgage Curtailment and Default

Listed author(s):
  • Che-Chun Lin

    ()

    (National Tsinghua University, 101, Sec. 2, Kuang-Fu Road, Hsin-Chu 30013, Taiwan)

  • Ting-Heng Chu

    ()

    (Department of Economics, Finance, and Urban Studies, East Tennessee State University, Box 70686, Johnson City, TN 37614)

  • Larry J. Prather

    ()

    (Department of Economics, Finance, and Urban Studies, East Tennessee State University, Box 70686, Johnson City, TN 37614)

  • Perry Wang

    ()

    (Fubon Financial Holding Company, 3F 237 Section 1 Chien Kuo S. Road, Taipei 106, Taiwan)

We explore the effect of mortgage curtailment payments on subsequent default probabilities. Although curtailment is not popular in western countries, it is the dominant form of prepayment in Asia. Using more than 6 years of mortgage performance records from an Asian bank, we investigate the impact of curtailment payments on mortgage default risk. The results of logistic regressions reveal that the cumulative curtailment is the most significant factor in predicting the future default probabilities of a seasoned mortgage pool. Thus, mortgage modeling for Asian countries should be different from mortgage modeling for western countries.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.umac.mo/fba/irer/papers/past/vol8_pdf/Lin-Chu-Prather-Wang_(95-109).pdf
File Function: Full text
Download Restriction: no

Article provided by Asian Real Estate Society in its journal International Real Estate Review.

Volume (Year): 8 (2005)
Issue (Month): 1 ()
Pages: 95-109

as
in new window

Handle: RePEc:ire:issued:v:08:n:01:2005:p:95-109
Contact details of provider: Postal:
Asia Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA

Web page: http://www.asres.org/

Order Information: Postal: Asian Real Estate Society, 51 Monroe Street, Plaza E-6, Rockville, MD 20850, USA
Web: http://www.asres.org/ Email:


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 5-36, July.
  2. Ambrose, Brent W & Buttimer, Richard & Thibodeau, Thomas, 2001. "A New Spin on the Jumbo/Conforming Loan Rate Differential," The Journal of Real Estate Finance and Economics, Springer, vol. 23(3), pages 309-335, November.
  3. Green, Jerry & Shoven, John B, 1986. "The Effects of Interest Rates on Mortgage Prepayments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 41-59, February.
  4. Yongheng Deng, "undated". "Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure," Working Papers _002, University of California at Berkeley, Econometrics Laboratory Software Archive.
  5. John M. Quigley & Robert Order, 1990. "Efficiency in the Mortgage Market: The Borrower's Perspective," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(3), pages 237-252.
  6. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
  7. Dunn, Kenneth B & McConnell, John J, 1981. "Valuation of GNMA Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 36(3), pages 599-616, June.
  8. Quigley, John M., 1993. "Explicit Tests of Contingent Claims Models of Mortgage Defaults," Department of Economics, Working Paper Series qt3df5357v, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  9. Chester Foster & Robert Order, 1985. "FHA Terminations: A Prelude to Rational Mortgage Pricing," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 273-291.
  10. Michael J. Brennan & Eduardo S. Schwartz, 1985. "Determinants of GNMA Mortgage Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 209-228.
  11. Peter Chinloy, 1993. "Elective Mortgage Prepayment: Termination and Curtailment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 313-332.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:08:n:01:2005:p:95-109. 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: (IRER Secretary Office/Webmaster)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.