Kau, James; Keenan, Donald; Smurov, Alexey - In: The Journal of Real Estate Finance and Economics 33 (2006) 3, pp. 183-196
This paper extends the traditional hazard technique of estimating prepayment and default by allowing their baselines to be stochastic processes, rather than known paths of time, as is typically assumed. By working in the reduced form, this method offers an alternative to the empirical valuation...