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Journal of Housing Economics
Volumn 14, Issue 3, 2005, Pages 294-314
Curtailment as a mortgage performance indicator
Author keywords

Competing risk; Curtailment; Default; Loan level data; Mortgage; Multinomial logit; Portfolio management; Prepayment; Seasoned MBS; Securitization; Taiwan
Indexed keywords

EID: 27144557561     PISSN: 10511377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jhe.2005.07.005     Document Type: Article
Times cited : (10)
References (12)
  • 1
    • 0041882860 scopus 로고    scopus 로고
    • The new view in mortgage prepayments: Insight from analysis at the loan-by-loan level
    • B.S. Abrahams The new view in mortgage prepayments: Insight from analysis at the loan-by-loan level J. Fixed Income 7 1 1997 8-21
    • (1997) J. Fixed Income , vol.7 , Issue.1 , pp. 8-21
    • Abrahams, B.S.1
  • 2
    • 0011380713 scopus 로고    scopus 로고
    • Demographic versus option-driven mortgage terminations
    • W. Archer D. Ling G.A. McGill Demographic versus option-driven mortgage terminations J. Housing Econ. 6 2 1997 137-163
    • (1997) J. Housing Econ. , vol.6 , Issue.2 , pp. 137-163
    • Archer, W.1    Ling, D.2    McGill, G.A.3
  • 3
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    • 0032465288 scopus 로고    scopus 로고
    • An analysis of ex-ante probability of mortgage prepayment and default
    • H.I. Buist F. Megbolugbe T.T. Yang An analysis of ex-ante probability of mortgage prepayment and default Real Estate Econ. 26 4 1998 651-676
    • (1998) Real Estate Econ. , vol.26 , Issue.4 , pp. 651-676
    • Buist, H.I.1    Megbolugbe, F.2    Yang, T.T.3
  • 6
    • 84983947195 scopus 로고
    • Elective mortgage prepayment: Termination and curtailment
    • P. Chinloy Elective mortgage prepayment: Termination and curtailment Amer. Real Estate Urban Econ. Assoc. J. 21 3 1993 313-332
    • (1993) Amer. Real Estate Urban Econ. Assoc. J. , vol.21 , Issue.3 , pp. 313-332
    • Chinloy, P.1
  • 7
    • 0036110558 scopus 로고    scopus 로고
    • A dynamic analysis of fixed and adjustable rate mortgage terminations
    • C.A. Calhoun Y. Deng A dynamic analysis of fixed and adjustable rate mortgage terminations J. Real Estate Finance Econ. 24 2002 9-33
    • (2002) J. Real Estate Finance Econ. , vol.24 , pp. 9-33
    • Calhoun, C.A.1    Deng, Y.2
  • 8
    • 18744407634 scopus 로고    scopus 로고
    • Mortgage terminations, heterogeneity and the exercise of mortgage options
    • Y. Deng J. Quigley R. Van Order Mortgage terminations, heterogeneity and the exercise of mortgage options Econometrica 68 2 2001 275-307
    • (2001) Econometrica , vol.68 , Issue.2 , pp. 275-307
    • Deng, Y.1    Quigley, J.2    Van Order, R.3
  • 9
    • 27144549633 scopus 로고
    • Partial and full prepayment and the modeling of mortgage cash flows
    • September
    • Hayre, L.S., Lauterbach, K., 1991. Partial and full prepayment and the modeling of mortgage cash flows. J. Fixed Income. September.
    • (1991) J. Fixed Income.
    • Hayre, L.S.1    Lauterbach, K.2
  • 10
    • 0013590254 scopus 로고
    • The valuation at origination of fixed rate mortgages with default and prepayment
    • J. Kau D. Keenan W. Muller J. Epperson The valuation at origination of fixed rate mortgages with default and prepayment J. Real Estate Finance Econ. 11 3 1995 279-299
    • (1995) J. Real Estate Finance Econ. , vol.11 , Issue.3 , pp. 279-299
    • Kau, J.1    Keenan, D.2    Muller, W.3    Epperson, J.4
  • 11
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    • Retiring Early: An Empirical Analysis of the Mortgage Curtailment Decision
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    • Fu, Q., 1997. Retiring Early: An Empirical Analysis of the Mortgage Curtailment Decision. Univ. of Wisconsin Ph.D. Dissertation.
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    • Fu, Q.1
  • 12
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    • Rational prepayment and the valuation of mortgage-backed securities
    • R. Stanton Rational prepayment and the valuation of mortgage-backed securities Rev. Finan. Stud. 8 1995 677-708
    • (1995) Rev. Finan. Stud. , vol.8 , pp. 677-708
    • Stanton, R.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.