Show simple item record

The Conditional Probability of Mortgage Default

dc.contributor.authorCapozza, Dennis R.en_US
dc.contributor.authorKazarian, Dicken_US
dc.contributor.authorThomson, Thomas A.en_US
dc.date.accessioned2010-06-01T22:07:15Z
dc.date.available2010-06-01T22:07:15Z
dc.date.issued1998-09en_US
dc.identifier.citationCapozza, Dennis R . ; Kazarian, Dick; Thomson, Thomas A . (1998). "The Conditional Probability of Mortgage Default." Real Estate Economics 26(3): 259-289. <http://hdl.handle.net/2027.42/75143>en_US
dc.identifier.issn1080-8620en_US
dc.identifier.issn1540-6229en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/75143
dc.format.extent1883512 bytes
dc.format.extent3109 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.publisherBlackwell Publishing Ltden_US
dc.rightsAmerican Real Estate and Urban Economics Associationen_US
dc.titleThe Conditional Probability of Mortgage Defaulten_US
dc.typeArticleen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationum* University of Michigan Business School, Ann Arbor, MI 48109 or Capozza@umich.edu .en_US
dc.contributor.affiliationother** Lehman Brothers, New York, NY 10285 or DKazaria@Lehman.com .en_US
dc.contributor.affiliationother*** University of Texas, San Antonio, TX 78249 or Tthomson@utsa.edu .en_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/75143/1/1540-6229.00750.pdf
dc.identifier.doi10.1111/1540-6229.00750en_US
dc.identifier.sourceReal Estate Economicsen_US
dc.identifier.citedreferenceAmbrose, B.W., R.J. Buttimer, Jr. and C.A. Capone. 1996a. The Impact of Delay between Default and Foreclosure on the Mortgage Default Option. Journal of Money, Credit, and Banking 29 ( 3 ): 314 – 325.en_US
dc.identifier.citedreferenceAmbrose, B.W., R.J. Buttimer, Jr. and C.A. Capone. 1996b. Modeling the Conditional Probability of Foreclosure in the Context of Single-Family Mortgage Default Resolutions. Mimeo. University of Wisconsin: Milwaukee, WI.en_US
dc.identifier.citedreferenceAsay, M. 1978. A Theory of the Rational Pricing of Mortgage Contracts. Ph.D. Dissertation. University of Southern California: Los Angeles, CA.en_US
dc.identifier.citedreferenceCapozza, D.R., D. Kazarian and T. Thomson. 1997. Mortgage Default in Local Markets. Real Estate Economics 25 ( 4 ): 631 – 655.en_US
dc.identifier.citedreferenceChan, K.C., G.A. Karoli, F.A. Longstaff and A.B. Sanders. 1992. A Empirical Comparison of Alternative Models of the Short-Term Interest Rate. The Journal of Finance 47 ( 3 ): 1209 – 1227.en_US
dc.identifier.citedreferenceChen, R. and T. Yang. 1995. The Relevance of Interest Rate Processes in Pricing Mortgage-Backed Securities. Journal of Housing Research 6 ( 2 ): 315 – 322.en_US
dc.identifier.citedreferenceCooperstein, R.L., F.S. Redburn and H.G. Meyers. 1991. Modeling Mortgage Terminations in Turbulent Times. Journal of the American Real Estate and Urban Economics Association 19 ( 4 ): 473 – 494.en_US
dc.identifier.citedreferenceCox, J.C., S.A. Ross and M. Rubinstein. 1979. Option Pricing: A Simplified Approach. Journal of Financial Economics 7: 229 – 263.en_US
dc.identifier.citedreferenceDunn, K.B. and C.S. Spatt. 1986. The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts. Working Paper. Carnegie-Mellon University: Pittsburgh, PA.en_US
dc.identifier.citedreferenceFindlay, M.C. and D.R. Capozza. 1977. The Variable Rate Mortgage and Risk in the Mortgage Market. Journal of Money, Credit, and Banking 9: 356 – 364.en_US
dc.identifier.citedreferenceFoster, C. and R. Van Order. 1984. An Option-Based Model of Mortgage Default. Housing Finance Review 3: 351 – 372.en_US
dc.identifier.citedreferenceHaurin, D.R., P.H. Hendershott and D. Kim. 1991. Local House Price Indexes: 1982–1991. Journal of the American Real Estate and Urban Economics Association 19 ( 3 ): 451 – 472.en_US
dc.identifier.citedreferenceHull, J.C. 1993. Options, Futures, and Other Derivative Securities. Second edition. Prentice-Hall: Englewood Cliffs, NJ.en_US
dc.identifier.citedreferenceJohnston, J. 1972. Econometric Methods. McGraw-Hill: New York.en_US
dc.identifier.citedreferenceJones, L.D. 1993. Deficiency Judgments and the Exercise of the Default Option in Home Mortgage Loans. Journal of Law and Economics 36: 115 – 138.en_US
dc.identifier.citedreferenceKau, J.B., D.C. Keenan and T. Kim. 1993. Transactions Costs, Suboptimal Termination and Default Probabilities. Journal of the American Real Estate and Urban Economics Association 21 ( 3 ): 247 – 263.en_US
dc.identifier.citedreferenceKau, J.B., D.C. Keenan and T. Kim. 1994. Default Probabilities for Mortgages. Journal of Urban Economics 35 ( 3 ): 278 – 296.en_US
dc.identifier.citedreferenceKau, J.B. and T. Kim. 1994. Waiting to Default: The Value of Delay. Journal of the American Real Estate and Urban Economics Association 22 ( 3 ): 539 – 551.en_US
dc.identifier.citedreferenceLekkas, V., J.M. Quigley and R. Van Order. 1993. Loan Loss Severity and Optimal Mortgage Default. Journal of the American Real Estate and Urban Economics Association 21 ( 4 ): 353 – 371.en_US
dc.identifier.citedreferenceNelson, D. and K. Ramaswamy. 1990. Simple Binomial Processes as Diffusion Approximations in Financial Models. Review of Financial Studies 3 ( 3 ): 393 – 430.en_US
dc.identifier.citedreferenceSchwartz, E.S. and W.N. Torous. 1993. Mortgage Prepayment and Default Decisions: A Poisson Regression Approach. Journal of the American Real Estate and Urban Economics Association 21 ( 4 ): 431 – 449.en_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


Files in this item

Show simple item record

Remediation of Harmful Language

The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.

Accessibility

If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.