The Termination of Commercial Mortgage Contracts through Prepayment and Default: A Proportional Hazard Approach with Competing Risks
使用贷款层面数据，在竞争风险框架下估计提前还款和违约函数，发现隐含看跌和看涨期权的价值以非线性和交互方式驱动违约和提前还款行为，且提前还款和违约风险分别与期权内在价值呈凸性关系。
This article examines the factors driving the borrower’s decision to terminate commercial mortgage contracts with the lender through either prepayment or default. Using loan–level data, we estimate prepayment and default functions in a proportional hazard framework with competing risks, allowing us to account for unobserved heterogeneity. Under a strict definition of mortgage default, we do not find evidence to support the existence of unobserved heterogeneity. However, when the definition of mortgage default is relaxed, we do find some evidence of two distinctive borrower groups. Our results suggest that the values of implicit put and call options drive default and prepayment actions in a nonlinear and interactive fashion. Prepayment and default risks are found to be convex in the intrinsic value of call and put options, respectively. Consistent with the joint nature of the two underlying options, high value of the put/call option is found to significantly reduce the call/put risk since the borrower forfeits both options by exercising one. Variables that proxy for cash flow and credit conditions as well as ex post bargaining powers are also found to have significant influence upon the borrower’s mortgage termination decision.