Privatized Default Risk and Real Estate Recessions: The U.K. Mortgage Market
开发了一个多阶段违约模型，分析借款人从逾期到最终违约的决策过程，并应用于英国抵押贷款市场，发现收入和流动性约束影响借款人维持贷款正常的状态。
A mortgage pricing model is developed when a borrower goes through a series of distress states, including delinquency, long‐term nonpayment and ultimate default. These steps are sequential, and depend on prices and alternatives faced by the borrower. The multistate default model is applied to the mortgage market in the United Kingdom. As a byproduct, a pricing structure for the U.K. endowment mortgage, which combines a good and a life insurance policy, is developed. Income and liquidity constraints are shown to affect the decision to keep a mortgage current in different states of distress. Solvent borrowers may thus keep their mortgages current, even when equity is negative.