Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions
研究了抵押贷款违约与止赎是两个独立事件，利用FHA保险的贷款样本估计借款人特征、贷款条款和经济状况对止赎概率的影响，帮助理解违约后何时更可能发生止赎。
Both empirical and pricing‐simulation models of mortgage default focus on foreclosure in a one‐step decision framework. Such models are misspecified to the extent that mortgage default and foreclosure are two separate decisions or events, where foreclosure is but one outcome of a default episode. This study examines the dynamics of mortgage borrower default episodes using a large sample of FHA‐insured single‐family mortgages. We estimate the influence of borrower characteristics, mortgage terms, and economic conditions on probabilities of various resolutions, highlighting under what conditions foreclosure is more likely to result from mortgage default.