Optimal Stopping and Losses on Subprime Mortgages

Autor:	Thomas A. Thomson, Dennis R. Capozza
Rok vydání:	2005
Předmět:	Economics and Econometrics Collateral business.industry media_common.quotation_subject Financial system Payment Urban Studies Accounting Mortgage underwriting Optimal stopping Default Business Finance Financial services media_common
Zdroj:	The Journal of Real Estate Finance and Economics. 30:115-131
ISSN:	1573-045X 0895-5638
DOI:	10.1007/s11146-004-4875-z
Popis:	Lender losses on mortgage loans arise from a two-stage process. In the first stage, the borrower stops making payments if and when default is optimal. The second stage is a lengthy and costly period during which the lender employs legal remedies to obtain possession and execute a sale of the collateral. This research uses data on subprime mortgage losses to explore the role of borrower and collateral characteristics, and local legal requirements, as well as traditional option variables in the decisions of borrowers and lenders. Although subprime borrowers default earlier, which should reduce lender losses, these borrowers, nevertheless, impose greater realized losses on mortgage lenders.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::63e031f2e2cbee0e1eb390eb654256da https://doi.org/10.1007/s11146-004-4875-z Zobrazit plný text záznamu Plný text ve formátu PDF