Danis, Michelle A. (contributor); … - 2005
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 … support for the "distressed prepayment" theory that very delinquent loans are more likely to prepay than to default and that …
