caa a22 4500 477129846 CHVBK 20180405111701.0 cr unu---uuuuu 170330e19970501xx s 000 0 eng 10.1023/A:1007758412993 doi (NATIONALLICENCE)springer-10.1023/A:1007758412993 DENG YONGHENG Department of Economics, University of California at Berkeley, 94720-3880, Berkeley, CA aut Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure [Elektronische Daten] [YONGHENG DENG] Pricing for mortgage and mortgage-backed securities is complicated due to the stochastic and interdependent nature of prepayment and default risks. This paper presents a unified economic model of the contingent claims and competing risks of mortgage termination by prepayment and default. I adopt a proportional hazard framework to analyze these competing and interdependent risks in a model with time-varying covariates. The paper incorporates a stochastic interest rate model into the hazard function for prepayment. The empirical results reported in the paper provide new evidence about the ruthlessness of default and prepayment behavior and the sensitivity of these decisions to demographic as well as financial phenomena. The results also illustrate that evaluating the interest rate contingent claims with a stochastic term structure has effects on predicting not only the mortgage prepayment behavior but also the mortgage default behavior. Kluwer Academic Publishers, 1997 hazard models nationallicence mortgage termination nationallicence semiparametric estimation nationallicence stochastic term structure nationallicence The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 309-331 0895-5638 14:3<309 1997 14 11146 https://doi.org/10.1023/A:1007758412993 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1023/A:1007758412993 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- DENG YONGHENG Department of Economics, University of California at Berkeley, 94720-3880, Berkeley, CA aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Kluwer Academic Publishers 14/3(1997-05-01), 309-331 0895-5638 14:3<309 1997 14 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer