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Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure · Study

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ArticleMortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure

Yongheng Deng1997

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Articlegreen1997

Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure

152 citations·0/0 files stored·The Journal of Real Estate Finance and Economics

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Housing Market and Economics Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1990Pricing Interest-Rate-Derivative Securities 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1989Prepayment and the Valuation of Mortgage-Backed Securities 1990Simple Binomial Processes as Diffusion Approximations in Financial Models 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages 1986The Effects of Interest Rates on Mortgage Prepayments

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1998Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions 2003Commercial Mortgage-Backed Securities: Prepayment and Default 2018Deep Learning for Mortgage Risk 2003Credit History and the Performance of Prime and Nonprime Mortgages 2014Real estate collateral value and investment: The case of China 2020Deep Learning for Mortgage Risk*

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1995Mortgage default and low downpayment loans: The costs of public subsidyarticle · 8 shared references 1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Optionspreprint · 7 shared references 2011The Origins and Evolution of the Market for Mortgage-Backed Securitiesreview · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 5 shared references 1993Transaction Costs, Suboptimal Termination and Default Probabilitiesarticle · 5 shared references 1998Valuing Prepayment and Default in a Fixed‐Rate Mortgage: A Bivariate Binomial Options Pricing Techniquearticle · 5 shared references

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Year1997

Typearticle

Published1997-05-01

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations152

Files0 public / 0

ShelfHousing Market and Economics

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doi10.1023/a:1007758412993

openalex_workW1544131700

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1999Insolvency, Trigger Events, and Consumer Risk Posture in the Theory of Single-Family Mortgage Default

2002A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations