First Mortgages, Second Mortgages, and Their Default

被引：3

作者：

Kau, James B. ^{[1
]}

Keenan, Donald C. ^{[2
,3
]}

Lyubimov, Constantine ^{[4
]}

机构：

[1] Univ Georgia, Terry Coll Business, Dept Insurance Legal Studies & Real Estate, Athens, GA 30602 USA

[2] Univ Cergy Pontoise, Dept Econ & Management, Cergy Pontoise, France

[3] THEMA, Cergy Pontoise, France

[4] Fed Natl Mortgage Assoc, Washington, DC 20016 USA

来源：

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS | 2014年 / 48卷 / 04期

关键词：

Piggyback mortgages; Default; Loan modifications; HETEROGENEITY; DURATION; MODELS;

D O I：

10.1007/s11146-013-9449-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using 35,437 pairs of first and second mortgages matched from within a much larger set of subprime mortgages, this paper tracks and describes the tendency for either one of the mortgages to enter default, as well as the tendency for either the one or the other mortgage to ever return to being current, all this in a possibly repeated manner. Thus, the entire, interconnected default history of pairs of first and second mortgages is explored, as well as compared to theoretical predictions.

引用

页码：561 / 588

页数：28

共 50 条

[41] Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea
Kim, Joseph H. T.
Li, Johnny S. H.
EMERGING MARKETS REVIEW, 2017, 30 : 133 - 154
[42] Fixed Come Hell or High Water? Selection and Prepayment of Fixed-Rate Mortgages Outside the United States
Daglish, Toby
Patel, Nimesh
REAL ESTATE ECONOMICS, 2012, 40 (04) : 708 - 742
[43] Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
del Carmen Calvo-Garrido, Maria
Vazquez, Carlos
APPLIED MATHEMATICS AND COMPUTATION, 2015, 271 : 730 - 742
[44] Loan to Value Caps and Government-Backed Mortgage Insurance: Loan-Level Evidence from Dutch Residential Mortgages
de Haan, Leo
Mastrogiacomo, Mauro
ECONOMIST-NETHERLANDS, 2020, 168 (04): : 453 - 473
[45] Defining arrest in the first and second stages of labor
Gimovsky, Alexis C.
MINERVA OBSTETRICS AND GYNECOLOGY, 2021, 73 (01) : 6 - 18
[46] Development of timing patterns in first and second languages
Ordin, Mikhail
Polyanskaya, Leona
SYSTEM, 2014, 42 : 244 - 257
[47] q-Gaussian distributions of leverage returns, first stopping times, and default risk valuations
Katz, Yuri A.
Tian, Li
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2013, 392 (20) : 4989 - 4996
[48] Finite domain anomalous spreading consistent with first and second laws
Valko, P. P.
Zhang, X. H.
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2010, 15 (11) : 3455 - 3470
[49] First and second language tongue movements in Spanish and Korean bilingual speakers
Nissen, Shawn L.
Dromey, Christopher
Wheeler, Cynthia
PHONETICA, 2007, 64 (04) : 201 - 216
[50] First and second moment reversion for a discretized square root process with jumps
Chalmers, Graeme D.
Higham, Desmond J.
JOURNAL OF DIFFERENCE EQUATIONS AND APPLICATIONS, 2010, 16 (2-3) : 143 - 156

← 1 2 3 4 5 →