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Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories
10 references·8 citing·48 second hop
Commercial Mortgage Defaults: Proportional Hazards Estimation Using Individual Loan Histories (1993)Commercial Mortgage Defaults: Proportiona…The Journal of Real Estate Finance and Economics (2013)The Journal of Real Estate Fi…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Valuing Commercial Mortgages:…Valuing Commercial Mortgages: An Empirical Investigation of the Contingent- Claims Approach to Pricing Risky Debt (1989)Valuing Commercial Mortgages:…The Duration of Marketing Time of Residential Housing (1988)The Duration of Marketing Tim…Interest Rate Variations, Mortgage Prepayments and Household Mobility (1987)Interest Rate Variations, Mor…An application of the cox proportional hazards model to bank failure (1986)An application of the cox pro…FHA Terminations: A Prelude to Rational Mortgage Pricing (1985)FHA Terminations: A Prelude t…Estimation of Mortgage Defaults Using Disaggregate Loan History Data (1985)Estimation of Mortgage Defaul…Pricing FHA Mortgage Default Insurance (1984)Pricing FHA Mortgage Default …What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS) (2014)What is Subordination About? …Pricing of commercial real estate securities during the 2007–2009 financial crisis (2012)Pricing of commercial real es…Exposure to Real Estate in Bank Portfolios (2010)Exposure to Real Estate in Ba…Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks (2006)Unobserved Heterogeneity in M…A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias (2003)A Proportional Hazards Model …The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks (2002)The Termination of Commercial…Pricing commercial mortgage‐backed securities (2001)Pricing commercial mortgage‐b…Residential Appraisal and the Lending Process: A Survey of Issues (1998)Residential Appraisal and the…The Pricing of Options and Corporate Liabilities (1973)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)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)New methods for analyzing structural models of labor force dynamics (1982)Econometric duration analysis (1984)Home-ownership and Unemployment in the US (2001)The Impact of Transaction Costs and the Expected Length of Stay on Homeownership (2002)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Early warning of bank failure (1977)Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress (1985)Predicting corporate bankruptcy: where we stand? 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(1980)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)Value indices of commercial real estate: A comparison of index construction methods (1994)The Integration of Commercial Real Estate Markets and Stock Markets (1999)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Pricing Mortgage Default and Foreclosure Delay (1997)Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions (1998)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Mixed MNL models for discrete response (2000)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Discrete Choice Methods with Simulation (2003)A New Prepayment Model (with Default): An Occupation-time Derivative Approach (2008)The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing (2008)The Strategic Role of Listing Price in Marketing Real Estate: Theory and Evidence (1995)A Theory of Liquidity in Residential Real Estate Markets (2001)The Trade-off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting (2003)Evidence on Discrimination in Mortgage Lending (1998)Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures (2014)
this work references cited by second hop

References

  • 1986An application of the cox proportional hazards model to bank failure559 cited
  • 2013The Journal of Real Estate Finance and Economics512 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1988The Duration of Marketing Time of Residential Housing364 cited
  • 1989Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt247 cited
  • 1987Interest Rate Variations, Mortgage Prepayments and Household Mobility193 cited
  • 1985FHA Terminations: A Prelude to Rational Mortgage Pricing152 cited
  • 1985Estimation of Mortgage Defaults Using Disaggregate Loan History Data133 cited
  • 1984Pricing FHA Mortgage Default Insurance116 cited
  • 1989Valuing Commercial Mortgages: An Empirical Investigation of the Contingent- Claims Approach to Pricing Risky Debt59 cited

Cited by

  • 2006Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks83 cited
  • 2003A Proportional Hazards Model of Commercial Mortgage Default with Originator Bias81 cited
  • 1998Residential Appraisal and the Lending Process: A Survey of Issues75 cited
  • 2002The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks71 cited

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  • 2012Pricing of commercial real estate securities during the 2007–2009 financial crisis34 cited
  • 2010Exposure to Real Estate in Bank Portfolios31 cited
  • 2014What is Subordination About? Credit Risk and Subordination Levels in Commercial Mortgage-backed Securities (CMBS)24 cited
  • 2001Pricing commercial mortgage‐backed securities22 cited