Mortgage Default and Possession under Recourse: A Competing Hazards Approach

Recent studies by Ambrose, Buttimer, and Capone have stressed the fact that lender and borrower decisions after the initial default on a mortgage may significantly affect the amount and timing of recoveries and hence, more broadly, the value and riskiness of mortgage loan portfolios. This study uses...

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Bibliographic Details
Published in:Journal of money, credit and banking credit and banking, 2003-06, Vol.35 (3), p.425-442
Main Authors: Lambrecht, Bart M., William R. M. Perraudin, Satchell, Steven
Format: Article
Language:English
Subjects:
Arrearage
Bank credit
Banking
Borrowing
Credit
Default
Econometrics
Economic conditions
Finance
Foreclosure
Foreclosures
Housing
Incentives
Interest rates
Lenders
Loan defaults
Loan portfolio management
Loans
Mathematical models
Money
Mortgage loans
Mortgages
Random variables
Studies
Truncation
United Kingdom
Variable interest rates
Wages
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Description
Summary:Recent studies by Ambrose, Buttimer, and Capone have stressed the fact that lender and borrower decisions after the initial default on a mortgage may significantly affect the amount and timing of recoveries and hence, more broadly, the value and riskiness of mortgage loan portfolios. This study uses microeconomic data from the UK to examine the timing decisions of mortgage lenders and borrowers when mortgages are in default. The results suggest that salary and interest rates influence timing decisions more than loan-to-value ratios do and that lenders and borrowers accelerate the resolution of delinquent mortgages as the economic climate deteriorates.
ISSN:0022-2879
1538-4616
1538-4616
DOI:10.1353/mcb.2003.0021