Mortgage Loan Characteristics, Unobserved Heterogeneity and the Performance of United Kingdom Securitized Subprime Loans
估计了英国证券化次级抵押贷款的竞争风险模型，通过灵活建模未观测异质性并控制选择问题，揭示了贷款特征与违约、提前还款之间的关系。
We estimate a competing risk model of mortgage terminations on samples of U.K. securitized subprime mortgages. Given the role of these loans in the recent financial crisis it is important to understand their performance and supposed idiosyncratic behavior. We use a flexible modelling of unobserved heterogeneity over several dimensions, controlling for selection issues involving initial mortgage choices and dynamic selection over time. We estimate the characteristics of the unobserved heterogeneity and determine the correlation between the unobserved components of default and prepayment. The paper demonstrates the need to estimate initial household choices and the durations to default or prepayment jointly.