The duration of foreclosures in the subprime mortgage market: A competing risks model with mixing

Journal of Real Estate Finance and Economics

Volumn 40, Issue 2, 2010, Pages 109-129

  Pennington Cross, Anthony ^a  

^a MARQUETTE UNIVERSITY   (United States)

Author keywords

Foreclosure; Mortgages; Subprime

Indexed keywords

EID: 77949288274     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-008-9124-4     Document Type: Article

References (23)

1. Ambrose, B., & Capone, C. (1996). Do lenders discriminate in processing defaults. Cityscape, 2(1), 89-98.
2. Ambrose, B., & Capone, C. (1998). Modeling the conditional probability of foreclosure in the context of single-family mortgage default resolutions. Real Estate Economics, 26(3), 391-429.
3. Ambrose, B., & Capone, C. (2000). The hazard rates of first and second defaults. Journal of Real Estate Finance and Economics, 20(3), 275-293.
4. Ambrose, B., & Sanders, A. (2005). Legal Restrictions in Personal Loan Markets. Journal of Real Estate Finance and Economics, 30(2), 133-151.
5. Ambrose, B., Buttimer, R., & Capone, C. (1997). Pricing mortgage default and foreclosure delay. Journal of Money, Credit, and Banking, 29(3), 314-325.
6. Capozza, D., & Thomson, T. (2005) Optimal stopping and losses on subprime mortgages. Journal of Real Estate Finance and Economics, 30(2), 115-131.
7. Capozza, D., & Thomson, T. (2006). Subprime transitions: Lingering or malingering in default? Journal of Real Estate Finance and Economics, 33(3), 241-258.
8. Clapp, J., Deng, Y., & An, X. (2006). Unobserved heterogeneity in models of competing mortgage termination risks. Real Estate Economics, 34(2), 243-273.
9. Clauretie, T. M., & Sirmans, G. S. (2006). Real estate finance: Theory and practice, (5th ed., p. 287). Mason: Thomson South-Western Publishing.
10. Danis, M., & Pennington-Cross, A. (2005). A dynamic look at subprime loan performance. The Journal of Fixed Income, 15(1), 28-39.
11. Deng, Y., Quigley, J., & van Order, R. (2000). Mortgage termination, heterogeneity, and the exercise of mortgage options. Econometrica, 68(2), 275-307.
12. Dong, X., & Koppelman, F. S. (2003). Comparison of methods representing heterogeneity in logit models. Presented at the 10th International Conference on Travel Behaviour Research, Lucerne, 10-15 August 2003.
13. Harding, J., Miceli, T., & Sirmans, C. F. (2000). Deficiency Judgments and Borrower Maintenance: Theory and Evidence. Journal of Housing Economics, 9(4), 267-85.
14. Heckman, J., & Singer, B. (1984). A method for minimizing the impact of distributional assumptions in econometric models of duration data. Econometrica, 52(2), 271-320.
15. Lambrecht, B., Perraudin, W., & Satchell, S. (2003). Mortgage default and possession under recourse: A competing hazards approach. Journal of Money, Credit, and Banking, 35(3), 425-442.
16. McFadden, D. (1978). Modeling the choice of residential location. In A. Karlquist et al (Ed.), Spatial interaction theory and residential location (pp. 75-96). Amsterdam: North-Holland.
17. Pence, K. M. (2003). Foreclosing on opportunity: State laws and mortgage credit. Board of Governors of the Federal Reserve System (U. S.), Finance and Economics Discussion Series: 2003-16.
18. Pennington-Cross, A. (2006). The value of foreclosed property. Journal of Real Estate Research, 28(2), 193-214.
19. Phillips, R., & Rosenblatt, E. (1997). The legal environment and the choice of default resolution alternatives: An empirical analysis. Journal of Real Estate Research, 13(2), 145-154.
20. Phillips, R. A., & Vanderhoff, J. H. (2004). The conditional probability of foreclosure: An empirical analysis of conventional mortgage loan defaults. Real Estate Economics, 32(4), 571-588.
21. Train, K. (2003). Discrete choice methods with simulation. Cambridge: Cambridge University Press.
22. Wen, C.-H., & Koppelman, F. S. (2001). The generalized nested logit model. Transportation Research: Part B: Methodological, 35(7), 627-641.
23. Yu, X. (2006). Competing risk analysis of Japan's small financial institutions. Stanford University, Department of Economics Working Paper.