whether delinquency has any predictive power of the future performance of a mortgage. Using a sample of subprime mortgages … from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong …

literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the …

develop an estimation and simulation procedure to generate historical time series of interest rates. We find that the …