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Optimal Stopping and Losses on Subprime Mortgages
Capozza, Dennis; Thomson, Thomas - In: The Journal of Real Estate Finance and Economics 30 (2004) 2, pp. 115-131
Lender losses on mortgage loans arise from a two-stage process. In the first stage, the borrower stops making payments if and when default is optimal. The second stage is a lengthy and costly period during which the lender employs legal remedies to obtain possession and execute a sale of the...
Persistent link: https://www.econbiz.de/10005716711
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Subprime Transitions: Lingering or Malingering in Default?
Capozza, Dennis; Thomson, Thomas - In: The Journal of Real Estate Finance and Economics 33 (2006) 3, pp. 241-258
). This research studies this transition process for a unique sample of subprime mortgages that were seriously delinquent on …
Persistent link: https://www.econbiz.de/10005716712
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Subprime Lenders and Mortgage Market Completion
Chinloy, Peter; Macdonald, Nancy - In: The Journal of Real Estate Finance and Economics 30 (2004) 2, pp. 153-165
consistent with the subprime applicants financing or refinancing their mortgages at relatively low loan-to-value ratios …
Persistent link: https://www.econbiz.de/10005716788
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Mortgage Refinancing Activity: An Explanation [1990–2001]
Wetmore, Jill; Ndu, Chiaku - In: The Journal of Real Estate Finance and Economics 33 (2006) 1, pp. 75-86
Mortgage refinancing activity reached unprecedented high levels during 1990–2001. Using GARCH to control for heteroskedasticity and separating the data into regimes to control for potential structural changes over time, we estimate a model explaining changes in mortgage refinancing activity...
Persistent link: https://www.econbiz.de/10005716886
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The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing
Pennington-Cross, Anthony - In: The Journal of Real Estate Finance and Economics 40 (2010) 2, pp. 109-129
Persistent link: https://www.econbiz.de/10008480718
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Loss Recoveries, Realized Excess Returns, and Credit Rationing in the Commercial Mortgage Market
Ciochetti, Brian; Shilling, James - In: The Journal of Real Estate Finance and Economics 34 (2007) 4, pp. 425-445
realized excess returns on commercial mortgages. Our findings are striking. We find that average realized excess returns on … commercial mortgages are the lowest at the best times á la Stiglitz and Weiss (Am. Econ. Rev., 71:393–409, 1981). We also find … that excess realized returns on commercial mortgages are low when lenders are swamped with funds (which we measure by the …
Persistent link: https://www.econbiz.de/10005547368