Patterns of Rational Default

32 Pages Posted: 9 Nov 1999

See all articles by James B. Kau

James B. Kau

University of Georgia - Department of Insurance, Legal Studies, Real Estate

Donald C. Keenan

University of Cergy-Pontoise; University of Georgia

Date Written: September 1999

Abstract

In this paper, we move closer to the interest of empirical research by providing the entire distribution of default's severity not just a summary total. The total price of a mortgage's default option already provides a rough summary statistics of the unconditional expected severity of default, but as well be seen. distributions of severity are both disperse and skewed and so inadequately describe by even their conditional means. The results make it clear that the likelihood of default and the likely magnitude of that default must be treated as separate phenomena.

JEL Classification: G12, G21

Suggested Citation

Kau, James B. and Keenan, Donald C., Patterns of Rational Default (September 1999). Available at SSRN: https://ssrn.com/abstract=192551 or http://dx.doi.org/10.2139/ssrn.192551

James B. Kau (Contact Author)

University of Georgia - Department of Insurance, Legal Studies, Real Estate ( email )

Athens, GA 30602-6254
United States
706-542-9110 (Phone)
706-542-4295 (Fax)

Donald C. Keenan

University of Cergy-Pontoise ( email )

33 Boulevard du Port
Cergy-Pontoise Cedex, Cedex 95011
France

University of Georgia ( email )

510 Brooks Hall
Athens, GA 30602
United States
706-542-3668 (Phone)

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