Donald C. Keenan

University of Cergy-Pontoise

33 Boulevard du Port

Cergy-Pontoise Cedex, Cedex 95011

France

University of Georgia

510 Brooks Hall

Athens, GA 30602

United States

SCHOLARLY PAPERS

24

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1,763

SSRN CITATIONS
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Top 12,789

in Total Papers Citations

4

CROSSREF CITATIONS

68

Scholarly Papers (24)

1.

Patterns of Rational Default

Number of pages: 32 Posted: 09 Nov 1999
James B. Kau and Donald C. Keenan
University of Georgia - Department of Insurance, Legal Studies, Real Estate and University of Cergy-Pontoise
Downloads 650 (40,427)
Citation 5

Abstract:

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2.

Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Number of pages: 21 Posted: 27 Feb 2009 Last Revised: 11 Feb 2011
James B. Kau, Donald C. Keenan and Yildiray Yildirim
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Zicklin School of Business, Baruch College - The City University of New York
Downloads 272 (114,535)
Citation 1

Abstract:

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CMBS, default, structural model

3.

Subprime Mortgage Default

Posted: 28 Apr 2010 Last Revised: 04 Jun 2010
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise, Federal National Mortgage Association (Fannie Mae) and Louisiana State University
Downloads 219 (142,560)
Citation 2

Abstract:

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Mortgage, subprime, reduced-form valuation

4.

Liability Distributions for Mortgage Insurance

Number of pages: 18 Posted: 22 Nov 1999
James B. Kau, Donald C. Keenan and Taewon Kim
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and California State University, Los Angeles
Downloads 217 (143,784)

Abstract:

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First Mortgages, Second Mortgages, and Their Default

Number of pages: 34 Posted: 22 Dec 2012
James B. Kau, Donald C. Keenan and Constantine Lyubimov
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Federal National Mortgage Association (Fannie Mae)
Downloads 90 (292,418)

Abstract:

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Piggyback loans, mortgage default, mortgage modifications, competing risks

First Mortgages, Second Mortgages and Their Default

Journal of Real Estate Finance and Economics, Vol. 48, No. 4, 2014
Posted: 04 Apr 2014
James B. Kau, Donald C. Keenan and Constantine Lyubimov
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Federal National Mortgage Association (Fannie Mae)

Abstract:

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Piggyback mortgages; Default; Loan modifications

6.
Downloads 90 (290,103)

Leverage and Mortgage Foreclosures

Number of pages: 25 Posted: 09 Mar 2009
Donald C. Keenan, Alexey A. Smurov and James B. Kau
University of Cergy-Pontoise, Federal National Mortgage Association (Fannie Mae) and University of Georgia - Department of Insurance, Legal Studies, Real Estate
Downloads 90 (292,418)
Citation 1

Abstract:

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leverage, default, mortgage

Leverage and Mortgage Foreclosures

Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011
Posted: 09 Feb 2011
James B. Kau, Donald C. Keenan and Alexey A. Smurov
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Federal National Mortgage Association (Fannie Mae)

Abstract:

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Mortgage, Default, Leverage

7.

Risk Preferences and Changes in Background Risk

Number of pages: 19 Posted: 30 Apr 2006 Last Revised: 04 Feb 2008
Donald C. Keenan, Donald C. Rudow and Arthur Snow
University of Cergy-Pontoise, University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 78 (316,605)
Citation 1

Abstract:

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background risk, risk vulnerablility, properness, standardness

8.

The Impact of Second Loans on Subprime Mortgage Defaults

Number of pages: 42 Posted: 29 Nov 2010 Last Revised: 20 Mar 2012
Michael D. Eriksen, James B. Kau and Donald C. Keenan
University of Cincinnati - Department of Finance - Real Estate, University of Georgia - Department of Insurance, Legal Studies, Real Estate and University of Cergy-Pontoise
Downloads 47 (407,311)
Citation 1

Abstract:

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Subprime Mortgages, Foreclosure, Default. Second Loans, HMDA

9.

Greater Parametric Downside Risk Aversion

Number of pages: 25 Posted: 28 Jun 2016 Last Revised: 16 Dec 2016
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 22 (521,611)
Citation 1

Abstract:

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downside risk aversion, Schwarzian, protective puts

10.

Bringing Order to Rankings of Utility Functions by Strong Increases in n-th Order Aversion to Risk

Number of pages: 27 Posted: 25 Apr 2018
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 20 (533,334)

Abstract:

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higher order risk aversion

11.

Poverty, Disease and the Ecology of Complex Systems

PLOS Biology, April 2014, Vol. 12, Issue 4
Number of pages: 9 Posted: 10 Jul 2015
Harvard University - Medical School, University of California, Berkeley, Harvard University - Medical School, Harvard Medical School, Cornell University - Charles H. Dyson School of Applied Economics & Management, University of Cergy-Pontoise and Harvard University - Department of Global Health and Social Medicine
Downloads 15 (563,415)

Abstract:

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12.

A Refinement of Downside Risk Aversion

Number of pages: 17 Posted: 04 Dec 2018
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 13 (576,078)

Abstract:

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expected utility, downside risk aversion

13.

Completely Greater and Less Downside Risk Aversion in terms of Utility Measures and Higher-Order Generalizations

Number of pages: 23 Posted: 08 Feb 2019
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 11 (588,973)
Citation 1

Abstract:

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downside risk aversion, risk aversion, prudence

14.

Note on the Relation Between the Downside Risk Aversion Measure d and the Schwarzian Downside Risk Aversion Measure S

Number of pages: 8 Posted: 27 Jan 2019 Last Revised: 29 Jan 2019
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 10 (595,395)

Abstract:

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greater downside risk aversion

15.

Conjecture on the Efficacy of the Invisible Hand

Number of pages: 12 Posted: 14 Feb 2019
Donald C. Keenan and Taewon Kim
University of Cergy-Pontoise and California State University, Los Angeles
Downloads 9 (601,846)

Abstract:

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general equilibrium, stability, uniqueness

16.

Direction and Intensity of Risk Preference at the Third Order

Journal of Risk and Insurance, Vol. 85, Issue 2, pp. 355-378, 2018
Number of pages: 24 Posted: 05 Jun 2018
Donald C. Keenan and Arthur Snow
University of Cergy-Pontoise and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads 0 (681,334)
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17.

Cornish-Fisher Expansion for Commercial Real Estate Value at Risk

Journal of Real Estate Finance and Economics, Vol. 50, No. 4, 2015
Posted: 09 Apr 2015
Laval University - Business School, Independent and University of Cergy-Pontoise

Abstract:

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Value at risk; Risk measurement; Real estate finance; Cornish-Fisher expansion; Risk management; Rearrangement procedures

The Impact of Second Loans on Subprime Mortgage Defaults

Real Estate Economics, Vol. 41, Issue 4, pp. 858-886, 2013
Number of pages: 29 Posted: 17 Dec 2013
Michael D. Eriksen, James B. Kau and Donald C. Keenan
University of Cincinnati - Department of Finance - Real Estate, University of Georgia - Department of Insurance, Legal Studies, Real Estate and University of Cergy-Pontoise
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The Impact of Second Loans on Subprime Mortgage Defaults

Real Estate Economics- Forthcoming
Posted: 08 Aug 2012
Michael D. Eriksen, James B. Kau and Donald C. Keenan
University of Cincinnati - Department of Finance - Real Estate, University of Georgia - Department of Insurance, Legal Studies, Real Estate and University of Cergy-Pontoise

Abstract:

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Subprime, Second Loans, HMDA. Foreclosure

Racial Discrimination and Mortgage Lending

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012
Posted: 14 Jul 2012
James B. Kau, Donald C. Keenan and Henry J. Munneke
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and University of Georgia - Department of Insurance, Legal Studies, Real Estate

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Racial discrimination, Mortgage lending

Racial Discrimination and Mortgage Lending

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012
Posted: 22 Aug 2012
James B. Kau, Donald C. Keenan and Henry J. Munneke
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and University of Georgia - Department of Insurance, Legal Studies, Real Estate

Abstract:

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Racial discrimination, Mortgage lending

Asymmetric Information in the Subprime Mortgage Market

Journal of Real Estate Finance and Economics, Vol.44, Nos. 1&2, 2012
Posted: 10 Mar 2011 Last Revised: 24 Feb 2012
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise, Federal National Mortgage Association (Fannie Mae) and Louisiana State University

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asymmetric information, subprime, mortgage default

Asymmetric Information in the Subprime Mortgage Market

Journal of Real Estate Finance and Economics, Vol. 44, Nos. 1 & 2, 2012
Posted: 30 Nov 2011
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise, Federal National Mortgage Association (Fannie Mae) and Louisiana State University

Abstract:

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Asymmetric information, Subprime, Default

21.

An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects

Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011
Posted: 29 Aug 2010
James B. Kau, Donald C. Keenan and Xiaowei Li
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and affiliation not provided to SSRN

Abstract:

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mortgage termination, MSA, shared-frailty effect

22.

The Hazard Approach to Mortgage Valuation as a Reduced Form Alternative to Option-Pricing Models

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 19 May 2006
James B. Kau, Donald C. Keenan and Alexey A. Smurov
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Federal National Mortgage Association (Fannie Mae)

Abstract:

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reduced form, mortgage valuation

23.

The Valuation at Origination of Fixed Rate Mortgages with Default and Prepayment

THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, Vol 11
Posted: 25 Aug 1998
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise, affiliation not provided to SSRN and University of Alabama

Abstract:

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24.

An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance

J. OF RISK AND INSURANCE, Vol. 63 No. 4, December 1996
Posted: 13 Mar 1997
James B. Kau and Donald C. Keenan
University of Georgia - Department of Insurance, Legal Studies, Real Estate and University of Cergy-Pontoise

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