Delinquencies, Default and Borrowers' Strategic Behavior toward the Modification of Commercial Mortgages
构建了一个抵押贷款拖欠模型，检验借款人是否预期拖欠会引发贷款修改。利用商业抵押贷款支持证券数据，发现对有利修改的预期会增加拖欠风险，支持借款人策略性拖欠理论。
Abstract This article constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from commercial mortgage‐backed securities (CMBS), we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which serve to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports the theory that borrower delinquency is strategically endogenous.