caa a22 4500 445316543 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110101xx s 000 0 eng 10.1007/s11146-009-9179-x doi (NATIONALLICENCE)springer-10.1007/s11146-009-9179-x An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects [Elektronische Daten] [James Kau, Donald Keenan, Xiaowei Li] Investigating the residential mortgage defaults and prepayments has been the subject of research for the past three decades. The literature on mortgage default and prepayment is often used to inform credit risk policies and asset pricing strategies. This literature has evolved from the use of logistic regressions to the use of survival and frailty models that control for unobserved heterogeneity. In this paper, we apply a shared-frailty survival model to analyze the mortgage termination risks. In particular, we investigate whether mortgages originated in the same Metropolitan Statistical Area (MSA) share common unobserved factors and how these factors affect the mortgage termination risks. The paper demonstrates that MSA-level frailty, together with other risk factors, has significant effects on the probability of mortgage terminations risks. Springer Science+Business Media, LLC, 2009 Mortgage termination nationallicence MSA nationallicence Shared-frailty effect nationallicence Kau James Department of Insurance, Legal Studies, and Real State, Terry College of Business, University of Georgia, 30602, Athens, GA, USA aut Keenan Donald Department of Economics, Terry College of Business, University of Georgia, 30602, Athens, GA, USA aut Li Xiaowei Discover Financial Services, 2500 Lake Cook Rd, 60015, Riverwoods, IL, USA aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/1(2011-01-01), 51-67 0895-5638 42:1<51 2011 42 11146 https://doi.org/10.1007/s11146-009-9179-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-009-9179-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kau James Department of Insurance, Legal Studies, and Real State, Terry College of Business, University of Georgia, 30602, Athens, GA, USA aut NATIONALLICENCE 700 1- Keenan Donald Department of Economics, Terry College of Business, University of Georgia, 30602, Athens, GA, USA aut NATIONALLICENCE 700 1- Li Xiaowei Discover Financial Services, 2500 Lake Cook Rd, 60015, Riverwoods, IL, USA aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/1(2011-01-01), 51-67 0895-5638 42:1<51 2011 42 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer