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Collateral Risk in Residential Mortgage Defaults

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  • Tyler Yang

  • Che-Chun Lin

  • Man Cho

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  • Tyler Yang & Che-Chun Lin & Man Cho, 2011. "Collateral Risk in Residential Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 42(2), pages 115-142, February.
    • Handle: RePEc:kap:jrefec:v:42:y:2011:i:2:p:115-142
    DOI: 10.1007/s11146-009-9194-y
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Brent W. Ambrose & Michael LaCour-Little & Zsuzsa R. Huszar, 2005. "A Note on Hybrid Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(4), pages 765-782, December.
    3. James F. Epperson & James B. Kau & Donald C. Keenan & Walter J. Muller, 1985. "Pricing Default Risk in Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 261-272, September.
    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    5. Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
    6. 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, September.
    7. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    8. Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.
    9. Kerry D. Vandell & Thomas Thibodeau, 1985. "Estimation of Mortgage Defaults Using Disaggregate Loan History Data," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 292-316, September.
    10. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, vol. 68(2), pages 275-308, March.
    11. Calem, Paul S. & LaCour-Little, Michael, 2004. "Risk-based capital requirements for mortgage loans," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 647-672, March.
    12. Tyler T. Yang & Henry Buist & Isaac F. Megbolugbe, 1998. "An Analysis of the Ex Ante Probabilities of Mortgage Prepayment and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 651-676, December.
    13. Calhoun, Charles A & Deng, Yongheng, 2002. "A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 9-33, Jan.-Marc.
    14. Longstaff, Francis A & Schwartz, Eduardo S, 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
    15. Jesse M. Abraham & William S. Schauman, 1991. "New Evidence on Home Prices from Freddie Mac Repeat Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 333-352, September.
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    1. Lanier, Paul & Jensen, Todd & Bryant, Katherine & Chung, Gerard & Rose, Roderick & Smith, Quinton & Lackmann, Lisa, 2020. "A systematic review of the effectiveness of children’s behavioral health interventions in psychiatric residential treatment facilities," Children and Youth Services Review, Elsevier, vol. 113(C).
    2. Tyler T. Yang & Jessie Y. Zhang, 2014. "Mortgage defaults and risk-based capital: post-global financial crisis development and implications for emerging markets," Chapters, in: Susan Wachter & Man Cho & Moon Joong Tcha (ed.), The Global Financial Crisis and Housing, chapter 10, pages 231-261, Edward Elgar Publishing.
    3. Alexander N. Bogin & William M. Doerner & William D. Larson, 2016. "Missing the Mark: House Price Index Accuracy and Mortgage Credit Modeling," FHFA Staff Working Papers 16-04, Federal Housing Finance Agency.
    4. Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013. "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 115-122.
    5. Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
    6. Tsay, Jing-Tang & Lin, Che-Chun & Prather, Larry J. & Buttimer, Richard J., 2014. "An approximation approach for valuing reverse mortgages," Journal of Housing Economics, Elsevier, vol. 25(C), pages 39-52.
    7. Jing-Tang Tsay & Che-Chun Lin & Jerry T. Yang, 2018. "Pricing Mortgage-Backed Securities-First Hitting Time Approach," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 419-446.

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