The Hazard Rates of First and Second Defaults

Brent Ambrose and Charles Capone

The Journal of Real Estate Finance and Economics, 2000, vol. 20, issue 3, 275-93

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. Copyright 2000 by Kluwer Academic Publishers

Date: 2000
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