Delinquency risk in residential ARMs: A hazard function approach

Journal of Real Estate Portfolio Management

Volumn 10, Issue 3, 2004, Pages 243-258

  Teo, Alan H L ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 9944254598     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (19)

1. Ambrose, B. W. and C. A. Capone, Jr., Cost-Benefit Analysis of Single-Family Foreclosure Alternatives, Journal of Real Estate Finance and Economics, 1996, 13:2, 105-20.
2. Ambrose, B. W. and C. A. Capone, Jr., Modeling the Conditional Probability of Foreclosure in the Context of Single-Family Mortgage Default Resolutions, Real Estate Economics, 1998, 26:3, 391-429.
3. Campbell, T. and J. K. Dietrich, The Determinants of Default on Insured Conventional Residential Loans, Journal of Finance, 1983, 38, 1569-81.
4. Canner, G. B., S. A. Gabriel and J. M. Woolley, Race, Default Risk and Mortgage Lending: A Study of the FHA and Conventional Loan Markets, Southern Economic Journal, 1991, 58:1, 249-62.
5. Cutler, S. and F. Ederer, Maximum Utilization of the Life Table in Analyzing Survival, Journal of Chronic Disorders, 1958, 699-712.
6. Greene, W. H., Econometric Analysis, Upper Saddle River, NJ: Prentice Hall, 2003.
7. Herzog, J. and J. Earley, Home Mortgage Delinquency and Foreclosure, Cambridge, MA: National Bureau of Economic Research, 1970.
8. Kaplan, E. and P. Meier, Nonparametric Estimation from Incomplete Observations, Journal of the American Statistical Association, 1958, 53:282, 457-81.
9. Morton, T. G., A Discriminate Function Analysis of Residential Mortgage Delinquency and Foreclosure, Journal of the American Real Estate and Urban Economics Association, 1975, 3:1, 73-90.
10. Neo, P. H., S. E. Ong and K. H. Ho, Characterisation of Conditional Foreclosure Likelihood: Significance of Equity, Firm, Number of Co-Borrowers and Size to ARM Foreclosure, Pacific Rim Property Research Journal, 2003, 9:2, 121-47.
11. Ong, S. E., Prepayment Risk and Holding Period for Residential Mortgages in Singapore, Journal of Property Investment and Finance, 2000, 18:6, 586-601.
12. Ong, S. E., C. L. Maxam and C. L. Thang, Mortgagor Motivations in Prepayments for Adjustable Rate Mortgages, Review of Urban & Regional Development Studies, 2002, 14:2, 97-116.
13. Ong, S. E., J. Ooi and T. F. Sing, Asset Securitization in Singapore: A Tale of Three Vehicles, Real Estate Finance, 2000, 17:2, 47-56.
14. Quercia, R. G. and M. A. Stegman, Residential Mortgage Default: A Review of the Literature, Journal of Housing Research, 1992, 3:2, 341-79.
15. Sing, T. F. and S. E. Ong, Residential Mortgage-Backed Securitization in Asia: The Singapore Experience, Journal of Real Estate Literature, 2004, 12:2, 159-79.
16. Von Furstenberg, G. M. and R. J. Green, Home Mortgage Delinquencies: A Cohort Analysis, Journal of Finance, 1974, 29: 3, 1545-48.
17. Waller, G., Residential Mortgage Default: A Clarifying Analysis, Housing Finance Review, 1988, 7, 321-33.
18. Waller, G., Residential Mortgage Default: An Empirical Note on Changes in Property Value and Debt Over Time, Housing Finance Review, 1989, 8, 155-64.
19. Zorn, M. and J. Lea, Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data, Journal of the American Estate and Urban Economics Association, 1989, 17:1, 118-36.