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Explicit Tests of Contingent Claims Models of Mortgage Defaults

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Cited by:

  1. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
  2. Richard K. Green & Patric H. Hendershott, 2001. "Home-ownership and Unemployment in the US," Urban Studies, Urban Studies Journal Limited, vol. 38(9), pages 1509-1520, August.
  3. Fang, Lu & Munneke, Henry J., 2021. "A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach," Regional Science and Urban Economics, Elsevier, vol. 86(C).
  4. 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).
  5. Tracy M. Turner & Marc T. Smith, 2009. "Exits From Homeownership: The Effects Of Race, Ethnicity, And Income," Journal of Regional Science, Wiley Blackwell, vol. 49(1), pages 1-32, February.
  6. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
  7. Anne Davlin & Edward Simpson Prescott & Sonya Ravindranath Waddell, 2011. "A regional look at the role of house prices and labor market conditions in mortgage default," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(1Q), pages 1-43.
  8. Neil Bhutta & Jane K. Dokko & Hui Shan, 2010. "The depth of negative equity and mortgage default decisions," Finance and Economics Discussion Series 2010-35, Board of Governors of the Federal Reserve System (U.S.).
  9. Charles Ka Yui LEUNG, 2022. "Housing and Macroeconomics," ISER Discussion Paper 1197, Institute of Social and Economic Research, Osaka University.
  10. Xudong An & John Clapp & Yongheng Deng, 2010. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 245-271, October.
  11. Jun Chen & Yongheng Deng, 2013. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 609-632, May.
  12. Agarwal, Sumit & Green, Richard K. & Rosenblatt, Eric & Yao, Vincent, 2015. "Collateral pledge, sunk-cost fallacy and mortgage default," Journal of Financial Intermediation, Elsevier, vol. 24(4), pages 636-652.
  13. Guiso, Luigi & Zingales, Luigi & Sapienza, Paola, 2009. "Moral and Social Constraints to Strategic Default on Mortgages," CEPR Discussion Papers 7352, C.E.P.R. Discussion Papers.
  14. 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.
  15. Xudong An & Yongheng Deng & Joseph Nichols & Anthony Sanders, 2013. "Local Traits and Securitized Commercial Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 47(4), pages 787-813, November.
  16. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 151-187.
  17. Piyash Tiwari, 2000. "Mortgage termination due to prepayments in India," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 623-628.
  18. 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).
  19. Dietz, Robert D. & Haurin, Donald R., 2003. "The social and private micro-level consequences of homeownership," Journal of Urban Economics, Elsevier, vol. 54(3), pages 401-450, November.
  20. James Bugden, 2014. "Quality-Adjusted Repeat-Sale House Price Indices," Working Papers 2014.01, School of Economics, La Trobe University.
  21. Song Han, 2001. "On the Economics of Discrimination in Credit Markets," Finance and Economics Discussion Series 2002-02, Board of Governors of the Federal Reserve System (U.S.).
  22. Song Han, 2004. "Discrimination in Lending: Theory and Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 29(1), pages 5-46, July.
  23. Campbell, Sean D. & Davis, Morris A. & Gallin, Joshua & Martin, Robert F., 2009. "What moves housing markets: A variance decomposition of the rent-price ratio," Journal of Urban Economics, Elsevier, vol. 66(2), pages 90-102, September.
  24. Lin, Emily Y. & White, Michelle J., 2001. "Bankruptcy and the Market for Mortgage and Home Improvement Loans," Journal of Urban Economics, Elsevier, vol. 50(1), pages 138-162, July.
  25. Hartarska, Valentina & Gonzalez-Vega, Claudio, 2006. "Evidence on the effect of credit counseling on mortgage loan default by low-income households," Journal of Housing Economics, Elsevier, vol. 15(1), pages 63-79, March.
  26. Ming Shann Tsai & Shu Ling Chiang, 2015. "A General Pricing Model for a Mortgage Insurance Contract Considering the Effects of Multivariate Random Variables on Termination Probabilities and Loss Rate," Housing Policy Debate, Taylor & Francis Journals, vol. 25(2), pages 289-307, April.
  27. Michelle J. White & Ning Zhu, 2010. "Saving Your Home in Chapter 13 Bankruptcy," The Journal of Legal Studies, University of Chicago Press, vol. 39(1), pages 33-61, January.
  28. Kelly D. Edmiston & Roger Zalneraitis, 2007. "Rising foreclosures in the United States: a perfect storm," Economic Review, Federal Reserve Bank of Kansas City, vol. 92(Q IV), pages 115-145.
  29. Ming‐Chi Chen & Chia‐Chien Chang & Shih‐Kuei Lin & So‐De Shyu, 2010. "Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 399-422, June.
  30. Che-Chun Lin & Ting-Heng Chu & Larry J. Prather & Perry Wang, 2005. "Mortgage Curtailment and Default," International Real Estate Review, Global Social Science Institute, vol. 8(1), pages 95-109.
  31. Andra Ghent, 2015. "Home Ownership, Household Leverage and Hyperbolic Discounting," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 750-781, September.
  32. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
  33. Ran Deng & Shermineh Haghani, 2017. "FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks," JRFM, MDPI, vol. 11(1), pages 1-15, December.
  34. Piyush Tiwari, 2001. "Economics of Mortgage Termination in India," ERES eres2001_287, European Real Estate Society (ERES).
  35. Moon, Byunggeor, 2018. "Housing investment, default risk, and expectations: Focusing on the chonsei market in Korea," Regional Science and Urban Economics, Elsevier, vol. 71(C), pages 80-90.
  36. Nai Jia Lee, 2003. "Expected Return of Housing and Mortgage Termination," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 75-101.
  37. Jian Chen & Jin Xiang & Tyler T. Yang, 2018. "Re-Default Risk of Modified Mortgages," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 1-40.
  38. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  39. 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.
  40. Jan K. Brueckner & James N. Conklin & N. Edward Coulson & Moussa Diop, 2023. "Default Costs and Repayment of Underwater Mortgages," CESifo Working Paper Series 10755, CESifo.
  41. 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.
  42. Russell Kashian & David Welsch, 2008. "A Regional Examination of Foreclosures," Working Papers 08-04, UW-Whitewater, Department of Economics.
  43. Glaeser, Edward L., 2014. "Understanding housing: The intellectual legacy of John Quigley," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 3-12.
  44. Agarwal, Sumit & Ambrose, Brent W. & Chomsisengphet, Souphala & Liu, Chunlin, 2006. "An empirical analysis of home equity loan and line performance," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 444-469, October.
  45. Patrick Bajari & Chenghuan Sean Chu & Minjung Park, 2008. "An Empirical Model of Subprime Mortgage Default From 2000 to 2007," NBER Working Papers 14625, National Bureau of Economic Research, Inc.
  46. Shu Ling Chiang & Ming Shann Tsai & Shan Jiang, 2021. "The Influences of Foreclosure Factors on the Value, Yield, Duration and Convexity of a Mortgage," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 361-394, September.
  47. Youngha Cho & Soosung Hwang & Steve Satchell, 2012. "The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 645-677, October.
  48. Valentina Hartarska & Claudio Gonzalez-Vega, 2005. "Credit Counseling and Mortgage Termination by Low-Income Households," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 227-243, April.
  49. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 777-813.
  50. Danny Ben-Shahar, 2006. "Screening Mortgage Default Risk: A Unified Theoretical Framework," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 215-240.
  51. 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.
  52. Szu‐Lang Liao & Ming‐Shann Tsai & Shu‐Ling Chiang, 2008. "Closed‐Form Mortgage Valuation Using Reduced‐Form Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 313-347, June.
  53. O. Emre Ergungor, 2009. "Foreclosures in Ohio: does lender type matter?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  54. Marcus Cieleback, 2001. "Prepayment of German Bauspar-Loans: The importance of borrower and loan characteristics in predicting loan prepayment," ERES eres2001_136, European Real Estate Society (ERES).
  55. Chang, Chia-Chien, 2014. "Valuation Of Mortgage Insurance Contracts With Counterparty Default Risk: Reduced-Form Approach," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 303-334, May.
  56. Lanot, Gauthier & Leece, David, 2010. "The Performance of UK Securitized Subprime Mortgage Debt: ‘Idiosyncratic’ Behaviour or Mortgage Design?," MPRA Paper 27137, University Library of Munich, Germany.
  57. Hartarska, Valentina M. & Gonzalez-Vega, Claudio, 2003. "Credit Counseling and Mortgage Termination by Low-Income Households," 2003 Regional Committee NCT-194, October 6-7, 2003; Kansas City, Missouri 132518, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  58. John Clapp & Yongheng Deng & Xudong An, 2005. "Unobserved heterogeneity in Models of Competing Mortgage Termination Risks," Working Paper 8585, USC Lusk Center for Real Estate.
  59. Wayne Passmore & Roger Sparks, 1997. "The effect of automated underwriting on the profitability of mortgage securitization," Finance and Economics Discussion Series 1997-19, Board of Governors of the Federal Reserve System (U.S.).
  60. Andre Guettler & Ulrich Hommel & Julia Reichert, 2011. "The influence of sponsor, servicer, and underwriter characteristics on RMBS performance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 281-311, September.
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