The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing
Format of Original
Journal of Real Estate Finance and Economics
This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinomial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), and the state-level legal environment.
Pennington-Cross, Anthony, "The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing" (2010). Finance Faculty Research and Publications. 14.
Accepted version. Journal of Real Estate Finance and Economics, Vol. 40, No. 2 (February 2010): 109-129. DOI. © 2010 Springer Publishing Company. Used with permission.
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