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Efficient Mortgage Default Option Exercise: Evidence from Loss Severity
9 references·4 citing·40 second hop
Efficient Mortgage Default Option Exercise: Evidence from Loss Severity (1995)Efficient Mortgage Default Option Exercis…Waiting to Default: The Value of Delay (1994)Waiting to Default: The Value…Default Probabilities for Mortgages (1994)Default Probabilities for Mor…Loan Loss Severity and Optimal Mortgage Default (1993)Loan Loss Severity and Optima…The Effect of State Foreclosure Laws on Loan Losses: Evidence from the Mortgage Insurance Industry (1990)The Effect of State Foreclosu…The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rates (1987)The Impact of Interstate Fore…Pricing Default Risk in Mortgages (1985)Pricing Default Risk in Mortg…FHA Terminations: A Prelude to Rational Mortgage Pricing (1985)FHA Terminations: A Prelude t…Pricing FHA Mortgage Default Insurance (1984)Pricing FHA Mortgage Default …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Clustering in U.K. Home Price Volatility (2011)Clustering in U.K. Home Price…Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices (2004)Alternative Methods of Increa…Subprime & Prime Mortgages: Loss Distributions (2003)Subprime & Prime Mortgages: L…Optimal Put Exercise: An Empirical Examination of Conditions for Mortgage Foreclosure (2001)Optimal Put Exercise: An Empi…The Valuation of American Put Options (1977)Transaction Costs, Suboptimal Termination and Default Probabilities (1993)Mortgage Default with Asymmetric Information (2000)The Pricing of Options and Corporate Liabilities (2019)Deep Learning for Mortgage Risk* (2020)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Application of data mining to the spatial heterogeneity of foreclosed mortgages (2009)DEFAULT RISK ON FHA‐INSURED HOME MORTGAGES AS A FUNCTION OF THE TERMS OF FINANCING: A QUANTITATIVE ANALYSIS (1969)The Determinants of Default on Insured Conventional Residential Mortgage Loans (1983)An analysis of default risk in mobile home credit (1992)The Postforeclosure Experience of U.S. Households (2012)The Effect of Foreclosure Regulation: Evidence for the US Mortgage Market at State Level (2013)Option pricing (1976)An Intertemporal General Equilibrium Model of Asset Prices (1985)Mortgage Default: Classification Trees Analysis (2005)Measuring Bias in Consumer Lending (2021)Theory of Rational Option Pricing (1973)Explicit tests of contingent claims models of mortgage default (1995)The Effect of Income and Collateral Constraints on Residential Mortgage Terminations (1995)Theory of rational option pricing (2005)An Empirical Model of Subprime Mortgage Default From 2000 to 2007 (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Theory of the Term Structure of Interest Rates (1985)Embedded Options in the Mortgage Contract (2000)Subprime Refinancing: Equity Extraction and Mortgage Termination (2007)The delinquency of subprime mortgages (2007)Fear, Shame and Guilt: Economic and Behavioral Motivations for Strategic Default (2012)The Cost of Foreclosure Delay (2015)Mortgage Discrimination and FHA Loan Performance (2018)The valuation at origination of fixed-rate mortgages with default and prepayment (1995)Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures (2007)The Depth of Negative Equity and Mortgage Default Decisions (2010)Estimation of Mortgage Defaults Using Disaggregate Loan History Data (1985)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Default Probabilities for Mortgages235 cited
  • 1985FHA Terminations: A Prelude to Rational Mortgage Pricing152 cited
  • 1985Pricing Default Risk in Mortgages132 cited
  • 1984Pricing FHA Mortgage Default Insurance116 cited
  • 1990The Effect of State Foreclosure Laws on Loan Losses: Evidence from the Mortgage Insurance Industry115 cited
  • 1994Waiting to Default: The Value of Delay87 cited
  • 1993Loan Loss Severity and Optimal Mortgage Default79 cited
  • 1987The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rates69 cited

Cited by

  • 2001Optimal Put Exercise: An Empirical Examination of Conditions for Mortgage Foreclosure64 cited
  • 2004Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices59 cited
  • 2003Subprime & Prime Mortgages: Loss Distributions21 cited
  • 2011Clustering in U.K. Home Price Volatility20 cited

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