This paper presents a review and synthesis of the past fifteen years of research on mortgage
termination risk. Understanding termination risk is fundamental to explaining the workings of …

We model competing risks of mortgage termination where the borrower faces a repeated
choice to continue to pay, refinance the loan, move or default. Most previous empirical work …

This article extends unobserved heterogeneity to the multinomial logit (MNL) model
framework in the context of mortgages terminated by refinance, move or default. It tests for …

This paper uses microlevel data to examine recent prepayment performance of adjustable
rate mortgages (ARMs) employing the competing risk methodology developed by Deng …

Developing a good prepayment model is a central task in the valuation of mortgages and
mortgage-backed securities but conventional parametric models often have bad out-of …

The suboptimal exercise of the prepayment option in a mortgage is relevant for mortgage
pricing and the management of a mortgage portfolio. Construction of an accurate …

Property market dynamics depend on changes in long run equilibrium and on impediments
to adjustment towards equilibrium. Mortgage termination due to mobility, default and …

In this paper, we document that mortgage-backed securities (MBS) held by the Federal
Reserve exhibit faster principal prepayment rates than MBS held by the rest of the market …

In the study of mortgage loan pricing, prepayment and default hazards are considered.
While default results in loss of initial capital, prepayment is the more frequent termination …

This paper aims to evaluate an inference of bank internal PDs (Default Probabilities) on
subsequent prepayments of variable rate institutional loans. Since variable rate loans hardly …