The Hazard Rates of First and Second Default

Posted: 2 Nov 1999

Abstract

This paper examines hazards of repeated mortgage default, conditional on reinstating out of an initial default episode. Results indicate that subsequent default risk for reinstated borrowers if 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 intensity.

JEL Classification: G21

Suggested Citation

Ambrose, Brent W. and Capone, Charles A., The Hazard Rates of First and Second Default. The Journal of Real Estate Finance and Economics, Vol. 20, No. 3. Available at SSRN: https://ssrn.com/abstract=181632

Brent W. Ambrose (Contact Author)

Pennsylvania State University ( email )

University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)

Charles A. Capone

JPMorgan Chase ( email )

601 Pennsylvania Ave, NW
Suite 250N
Washington, DC 20004
United States
2025851373 (Phone)

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