Termination of Distressed Residential Mortgages: An Empirical Analysis

Thomas M Springer and Neil G Waller

The Journal of Real Estate Finance and Economics, 1993, vol. 7, issue 1, 43-54

Abstract: A sample of 209 distressed mortgages is used to analyze the terminations of distresses mortgages. An option-based model is compared to a traditional default model. Results show that the traditional model is statistically superior. However, the model's ability to identify a default is similar to that of the simpler option-based model. Alternative measures of borrower's equity are compared. Measuring borrower's equity using total debt more accurately explains default than using either the mortgage balance or the mortgage value. Copyright 1993 by Kluwer Academic Publishers

Date: 1993
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