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Leverage and Mortgage Foreclosures

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  • James Kau
  • Donald Keenan
  • Alexey Smurov

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  • James Kau & Donald Keenan & Alexey Smurov, 2011. "Leverage and Mortgage Foreclosures," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 393-415, May.
    • Handle: RePEc:kap:jrefec:v:42:y:2011:i:4:p:393-415
    DOI: 10.1007/s11146-010-9273-0
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    References listed on IDEAS

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    1. Jeffery D. Amato & Eli M Remolona, 2005. "The pricing of unexpected credit losses," BIS Working Papers 190, Bank for International Settlements.
    2. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, "undated". "Measuring Default Risk Premia from Default Swap Rates and EDFs," GSIA Working Papers 2006-E31, Carnegie Mellon University, Tepper School of Business.
    3. Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," The Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
    4. repec:bla:jfinan:v:44:y:1989:i:2:p:375-92 is not listed on IDEAS
    5. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    6. Robert A. Jarrow & David Lando & Fan Yu, 2008. "Default Risk And Diversification: Theory And Empirical Implications," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480, World Scientific Publishing Co. Pte. Ltd..
    7. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, vol. 68(2), pages 275-308, March.
    8. Joost Driessen, 2005. "Is Default Event Risk Priced in Corporate Bonds?," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 165-195.
    9. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    10. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
    11. repec:bla:jfinan:v:44:y:1989:i:2:p:345-73 is not listed on IDEAS
    12. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
    13. Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-299, August.
    14. Chen, Ren-Raw & Scott, Louis, 2003. "Multi-factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 143-172, September.
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    Cited by:

    1. Jou, Jyh-Bang & Lee, Tan (Charlene), 2016. "How does statutory redemption affect a buyer's decision at the foreclosure sale?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 263-272.

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    Keywords

    Mortgage; Default; Leverage;
    All these keywords.

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