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Richard Sandor, Howard Sosin (1975)
The Determinants of Mortgage Risk Premiums: A Case Study of the Portfolio of a Savings and Loan AssociationThe Journal of Business, 48
Epperson Epperson (1985)
Pricing Default Risk in MortgagesJournal of the American Real Estate and Urban Economics Association, 23
J. Jackson, D. Kaserman (1980)
Default Risk on Home Mortgage Loans: A Test of Competing HypothesesJournal of Risk and Insurance, 47
T. Morton (1975)
A Discriminant Function Analysis of Residential Mortgage Delinquency and ForeclosureReal Estate Economics, 3
G. Furstenberg (1970)
Interstate Differences in Mortgage Lending Risks: An Analysis of the CausesJournal of Financial and Quantitative Analysis, 5
Hall Hall (1985)
Valuing the Mortgage Borrower's Prepayment OptionJournal of the American Real Estate and Urban Economics Association, 13
C. Swan (1982)
Pricing Private Mortgage InsuranceReal Estate Economics, 10
J. Mulherin, W. Muller (1987)
Volatile Interest Rates and the Divergence of Incentives in Mortgage ContractsJournal of Law Economics & Organization, 3
G. Furstenberg (1970)
The Investment Quality of Home MortgagesJournal of Risk and Insurance, 37
Tim Campbell, J. Dietrich (1983)
The Determinants of Default on Insured Conventional Residential Mortgage LoansJournal of Finance, 38
George Furstenberg, R. Green (1974)
HOME MORTGAGE DELINQUENCIES: A COHORT ANALYSISJournal of Finance, 29
Foster Foster, Order Order (1984)
An Option Based Model of Mortgage DefaultHousing Finance Review, 8
James Epperson, J. Kau, Donald Keenan, W. Muller (1985)
Pricing Default Risk in MortgagesReal Estate Economics, 13
Morton Morton (1975)
A Discriminant Function Analysis of Residential Mortgage Delinquency and ForeclosureJournal of the American Real Estate and Urban Economics Association, 3
Mark Meador (1982)
The effects of mortgage laws on home mortgage ratesJournal of Economics and Business, 34
Furstenberg Furstenberg, Green Green (1974)
Estimation of Delinquency Risk for Home Mortgage PortfoliosJournal of the American Real Estate and Urban Economics Association, 2
Cunningham Cunningham, Hendershott Hendershott (1984)
Pricing FHA Mortgage Default InsuranceHousing Finance Review, 3
Arden Hall (1985)
Valuing the Mortgage Borrower's Prepayment OptionReal Estate Economics, 13
Evans Evans, Maris Maris, Weinstein Weinstein (1985)
Expected Loss and Mortgage Default RiskQuarterly Journal of Economics and Business, 24
G. Furstenberg (1969)
Default risk on FHA-insured home mortgages as a function of the terms of financing : a quantitative analysisJournal of Finance, 24
George Furstenberg, R. Green (1974)
Estimation of Delinquency Risk for Home Mortgage PortfoliosReal Estate Economics, 2
Previous research on mortgage default has focused on the costs, benefits, and characteristics of the mortgagor. In such studies default rates have been taken as a measure of mortgage risk. In this paper we present a model where the position of the lender affects the default‐foreclosure process. Important to the lender's decision to foreclose rather than renegotiate an existing loan are the value of mortgage and the legal costs associated with foreclosure. The empirical evidence supports the hypothesis that both the value of the mortgage and legal foreclosure costs affect the foreclosure rate. In those states where legal foreclosure costs are high rates are significantly less than where costs are low. This suggests that previous models which include only the costs and benefits of default to the borrower are incomplete and that foreclosure rates can not be taken as a strict measure of mortgage risk. That is, low foreclosure rates may indicate that losses occur in other forms of loan negotiation rather than in expensive legal costs.
Real Estate Economics – Wiley
Published: Sep 1, 1987
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