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Competing Risks of Mortgage Termination: Who Refinances, Who Moves, and Who Defaults?
16 references·1 citing·32 second hop
Competing Risks of Mortgage Termination: Who Refinances, Who Moves, and Who Defaults? (2001)Competing Risks of Mortgage Termination: …Movers and Shuckers: Interdependent Prepayment Decisions (2001)Movers and Shuckers: Interdep…Space‐Varying Regression Coefficients: A Semi‐parametric Approach Applied to Real Estate Markets (2000)Space‐Varying Regression Coef…Valuing Prepayment and Default in a Fixed‐Rate Mortgage: A Bivariate Binomial Options Pricing Technique (1998)Valuing Prepayment and Defaul…The Effect of Income and Collateral Constraints on Residential Mortgage Terminations (1995)The Effect of Income and Coll…Mortgage default and low downpayment loans: The costs of public subsidy (1995)Mortgage default and low down…Rational Prepayments and the Valuation of Collateralized Mortgage Obligations (1994)Rational Prepayments and the …Mortgage Prepayment and Default Decisions: A Poisson Regression Approach (1993)Mortgage Prepayment and Defau…Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities (1992)Prepayment, Default, and the …A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)A Generalized Valuation Model…The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages (1990)The Relative Termination Expe…Prepayments on fixed-rate mortgage-backed securities (1989)Prepayments on fixed-rate mor…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …The Effects of Interest Rates on Mortgage Prepayments (1986)The Effects of Interest Rates…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities (1981)A Comparison of Alternative M…Determinants of Automobile Loan Default and Prepayment (2008)Determinants of Automobile Lo…Limited-dependent and qualitative variables in econometrics (1983)The Determinants of Default on Insured Conventional Residential Mortgage Loans (1983)The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis (2004)Deep Learning for Mortgage Risk (2018)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Risk-based capital requirements for mortgage loans (2003)Theory of rational option pricing (2005)Housing markets and the financial crisis of 2007–2009: Lessons for the future (2010)Option pricing when underlying stock returns are discontinuous (1976)AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES (1977)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)The Impacts of Borrowing Constraints on Homeownership (1989)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Collateral Damage: Refinancing Constraints and Regional Recessions (1997)Insolvency, Trigger Events, and Consumer Risk Posture in the Theory of Single-Family Mortgage Default (1999)Risk-Based Pricing and the Enhancement of Mortgage Credit Availability among Underserved and Higher Credit-Risk Populations (2006)Options: A Monte Carlo approach (1977)A continuous time approach to the pricing of bonds (1979)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Household Risk Management and Optimal Mortgage Choice (2003)Is the Market for Mortgage-Backed Securities a Market for Lemons? (2008)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Pricing Mortgage Default and Foreclosure Delay (1997)
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References

  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1986The Effects of Interest Rates on Mortgage Prepayments223 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1992Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities157 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities151 cited
  • 1995The Effect of Income and Collateral Constraints on Residential Mortgage Terminations140 cited
  • 1990The Relative Termination Experience of Adjustable to Fixed-Rate Mortgages132 cited
  • 1995Mortgage default and low downpayment loans: The costs of public subsidy131 cited
  • 2000Space‐Varying Regression Coefficients: A Semi‐parametric Approach Applied to Real Estate Markets128 cited
  • 1993Mortgage Prepayment and Default Decisions: A Poisson Regression Approach127 cited
  • 2001Movers and Shuckers: Interdependent Prepayment Decisions89 cited
  • 1998Valuing Prepayment and Default in a Fixed‐Rate Mortgage: A Bivariate Binomial Options Pricing Technique

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81 cited
  • 1994Rational Prepayments and the Valuation of Collateralized Mortgage Obligations69 cited
  • Cited by

    • 2008Determinants of Automobile Loan Default and Prepayment27 cited