A dynamic look at subprime loan performance
By: by Michelle A. Danis and Anthony Pennington-Cross.
Contributors: Pennington-Cross, Anthony.; Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2005-029A; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2005-029A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2005
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Mortgage loans; Consumer credit
Description: "This paper examines the implications of delinquency on the performance of subprime mortgages.  Specifically, we examine whether delinquency has any predictive power of the future performance of a mortgage.  Using a sample of subprime mortgages from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities.  We find strong support for the "distressed prepayment" theory that very delinquent loans are more likely to prepay than to default and that the rate of increase of prepayment is substantially larger as delinquency intensity increases.  Delinquency predominately leads to termination of a loan through prepayment while negative equity leads to termination through default"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 7/12/2005.
Also available in print.
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Mode of access: World Wide Web.