The Conditional Probability of Mortgage Default

31 Pages Posted: 9 Sep 1996

See all articles by Dennis R. Capozza

Dennis R. Capozza

Ross School of Business, University of Michigan

Dick Kazarian

Lehman Brothers, New York

Thomas A. Thomson

UTSA College of Business

Date Written: Undated

Abstract

This research examines the implications of contingent claims models for empirical research on default. We focus on the probability of default over a short horizon given the current state of the world, i.e., the conditional probability of default, which more closely resembles the estimates of empirical models. We highlight the differences between the conditional and unconditional approaches and provide guidance for empirical research by illuminating situations where the expected sign reverses over the shorter horizon or where the functional form is highly non-linear.

JEL Classification: G21

Suggested Citation

Capozza, Dennis R. and Kazarian, Dick and Thomson, Thomas A., The Conditional Probability of Mortgage Default (Undated). Available at SSRN: https://ssrn.com/abstract=9135 or http://dx.doi.org/10.2139/ssrn.9135

Dennis R. Capozza

Ross School of Business, University of Michigan ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States
734 995 7271 (Phone)
734 629-0635 (Fax)

Dick Kazarian

Lehman Brothers, New York ( email )

745 Seventh Avenue
New York, NY 10019
United States

Thomas A. Thomson (Contact Author)

UTSA College of Business ( email )

Real Estate Finance and Development Program
One UTSA Circle
San Antonio, TX 78249-0637
United States
210-458-5306 (Phone)
210-458-6320 (Fax)

HOME PAGE: http://refd.utsa.edu

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