The Hazard Rates of First and Second Defaults

Brent W. Ambrose, Charles A. Capone

Research output: Contribution to journalArticle

32 Scopus citations

Abstract

This article examines hazards of repeated mortgage default, conditional on reinstating out of an initial default episode. Results indicate that subsequent default risk for reinstated borrowers is significantly greater than the risk of first default, especially during the first two years after a default episode. In addition, economic factors helpful in predicting first defaults are not helpful in predicting subsequent default episodes. This has important implications for mortgage investors and servicers as industry foreclosure avoidance efforts intensify.

Original languageEnglish (US)
Pages (from-to)275-293
Number of pages19
JournalJournal of Real Estate Finance and Economics
Volume20
Issue number3
DOIs
StatePublished - Jan 1 2000

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

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