The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing

Pennington-Cross, Anthony

doi:10.2139/ssrn.899948

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The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing

Journal of Real Estate Finance and Economics, Forthcoming

37 Pages Posted: 8 May 2006 Last revised: 24 Dec 2008

See all articles by Anthony Pennington-Cross

Anthony Pennington-Cross

Marquette University - Dept. of Finance

There are 2 versions of this paper

Date Written: December 22, 2008

Abstract

This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinominial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), and the state-level legal environment.

Keywords: Mortgages, Subprime, Foreclosure

JEL Classification: D12,G12, G21, C25

Suggested Citation: Suggested Citation

Pennington-Cross, Anthony N., The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing (December 22, 2008). Journal of Real Estate Finance and Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=899948 or http://dx.doi.org/10.2139/ssrn.899948