Pricing mortgage default and foreclosure delay

Journal of Money, Credit and Banking

Volumn 29, Issue 3, 1997, Pages 314-325

  Ambrose, Brent W ^a   Buttimer Jr , Richard J ^b   Capone, Charles A ^c  

^a UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

^c NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031489429     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.2307/2953696     Document Type: Article

References (16)

1. Ambrose, Brent W., and Charles A. Capone. "Cost-Benefit Analysis of Single Family Foreclosure Alternatives." Journal of Real Estate Finance and Economics 13:2 (1996), 105-20. (a)
2. _. "The Probability of Single-Family Borrower Default Resulting in Foreclosure." University of Wisconsin-Milwaukee working paper, 1996. (b)
3. Black, Fisher, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81 (1973), 637-54.
4. Capone, Charles A., Jr. "The Theory of Non-Optimal Mortgage Default." Department of Housing and Urban Development working paper, 1994.
5. Cox, John C., Jonathan E. Ingersoll, Jr., and Stephen A. Ross. "An Intertemporal General Equilibrium Model of Asset Prices." Econometrica 53:2 (1985), 363-84.
6. Hilliard, Jimmy, James B. Kau, and Carlos Slawson. "Valuing Prepayment and Default in a Fixed Rate Mortgage: A Bivariate Binomial Pricing Technique." University of Georgia working paper, 1996.
7. Jones, Lawrence D. "Deficiency Judgments and the Exercise of the Default Option in Home Mortgage Loans." Journal of Law and Economics 36 (1993), 115-38.
8. Kau, James B., and Donald C. Keenan. "An Overview of the Option-Theoretic Pricing of Mortgages." Journal of Housing Research 6:2 (1995), 217-44.
9. Kau, James B., Donald C. Keenan, and Taewon Kim. "Transaction Costs, Suboptimal Termination, and Default Probabilities." Journal of the American Real Estate and Urban Economics Association 21:3 (1993), 247-64.
10. Kau, James B., Donald C. Keenan, Walter J. Muller III, and James F. Epperson. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages. "Journal of Money, Credit, and Banking 24 (August 1992), 279-99.
11. Kau, James B., and Taewon Kim. "Waiting to Default: The Value of Delay." Journal of the American Real Estate and Urban Economics Association 22:3 (1994), 539-51.
12. Mosen, Gordon. "The Warning Bell Is Sounding." Servicing Management (May 1996), 27-30.
13. Price Waterhouse. An Actuarial Review of the Federal Housing Administration's Mutual Mortgage Insurance Fund, Washington, D.C.: Price Waterhouse Office of Government Services, 1995, 1992, 1990.
14. Schwartz, Edwardo S., and Walter N. Torous. "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities." Journal of Business 65:2 (1992), 221-39.
15. Titman, Sheridan, and Walter N. Torous. "Valuing Commercial Mortgages: An Empirical Investigation of the Contingent Claims Approach to Pricing Risky Debt." Journal of Finance 44 (1989), 345-73.
16. Vandell, Kerry D. "How Ruthless Is Mortgage Default? A Review and Synthesis of the Evidence." Journal of Housing Research 6:2 (1995), 245-64.