The Conditional Probability of Mortgage Default
研究了或有债权模型对违约实证研究的影响，聚焦短期条件违约概率，揭示条件与无条件方法的差异，为实证研究提供指导。
This research examines the implications of contingent‐claims models for empirical research on default. We focus on the probability of default over a short horizon given the current state of the world, i.e. , the conditional probability of default, which more closely resembles the estimates of empirical models. We highlight the differences between the conditional and unconditional approaches and provide guidance for empirical research by illuminating situations where the expected sign reverses over the shorter horizon or where the functional form is highly nonlinear.