Document Type


Publication Date


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Journal of Economics and Business


The lag between the time that a borrower stops making payments on a mortgage and the termination of the loan plays a critical role in the costs borne by both borrower and lender on defaulted loans. While the prior literature uses a multinomial logit approach, statistical tests indicate that we cannot accept the associated assumption of Independence of Irrelevant Alternatives (IIA). Using a nested logit specification our results suggest that the recipe for delinquency involves young loans to low credit score borrowers with low or no documentation in housing markets with moderately volatile and flat or declining nominal house prices.


The Delinquency of Subprime Mortgages (working paper version), July 2007

The definitive published version of this article is:
Danis, M. A., and Pennington-Cross, A. "The Delinquency of Subprime Mortgages." Journal of Economics and Business, 60 (1-2): 67-90.

DOI: 10.1016/j.jeconbus.2007.08.005,