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Note rate modifications and subprime default rates

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  • Camilo Sarmiento

Abstract

An important instrument to mitigate credit losses is modification of note rates of distressed borrowers. From a logistic model of early default, this article inferred the note rate impact on loan default probabilities, while controlling for loan characteristics (credit quality) and borrower location.

Suggested Citation

  • Camilo Sarmiento, 2009. "Note rate modifications and subprime default rates," Applied Economics Letters, Taylor & Francis Journals, vol. 16(6), pages 563-566.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:6:p:563-566
    DOI: 10.1080/17446540802260878
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    References listed on IDEAS

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    1. Paul S. Calem & Kevin Gillen & Susan Wachter, 2004. "The Neighborhood Distribution of Subprime Mortgage Lending," The Journal of Real Estate Finance and Economics, Springer, vol. 29(4), pages 393-410, December.
    2. Camilo Sarmiento & William Wilson, 2007. "Spatially correlated exit strategies in the baking industry," Applied Economics, Taylor & Francis Journals, vol. 39(4), pages 441-448.
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