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The Hazard Rates of First and Second Default

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  • Brent W. Ambrose
  • Charles A. Capone

Abstract

This article examines hazards of repeated mortgage default, conditional on reinstating out of an initial default episode. Results indicate that subsequent default risk for reinstated borrowers is significantly greater than the risk of first default, especially during the first two years after a default episode. In addition, economic factors helpful in predicting first defaults are not helpful in predicting subsequent default episodes. This has important implications for mortgage investors and servicers as industry foreclosure avoidance efforts intensify. Copyright 2000 by Kluwer Academic Publishers
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  • Brent W. Ambrose & Charles A. Capone, "undated". "The Hazard Rates of First and Second Default," Zell/Lurie Center Working Papers 301, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    • Handle: RePEc:wop:pennzl:301
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    File URL: http://realestate.wharton.upenn.edu/papers/full/301.pdf
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