Modeling the conditional probability of foreclosure in the context of single-family mortgage default resolutions

Brent William Ambrose, Charles A. Capone

Research output: Contribution to journalArticlepeer-review

71 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)391-429
Number of pages39
JournalReal Estate Economics
Volume26
Issue number3
DOIs
StatePublished - Jan 1 1998

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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