The Hazard Rates of First and Second Defaults |
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Authors: | Brent W Ambrose Charles A Capone |
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Institution: | (1) Center for Real Estate Studies, University of Kentucky, Lexington, KY, 40506;(2) Congressional Budget Office, Ford House Building, Room 489A, Washington, DC, 20515 |
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Abstract: | This article examines hazards of repeated mortgage default, conditional on reinstating out of an initial default episode. Results indicate that subsequent default risk for reinstated borrowers is significantly greater than the risk of first default, especially during the first two years after a default episode. In addition, economic factors helpful in predicting first defaults are not helpful in predicting subsequent default episodes. This has important implications for mortgage investors and servicers as industry foreclosure avoidance efforts intensify. |
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Keywords: | mortgage default foreclosure hazard rates competing risks |
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