National Tsing Hua University Institutional Repository:Mortgage Curtailment and Default
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    Title: Mortgage Curtailment and Default
    Authors: Che-Chun Lin;Ting-Heng Chu;Larry J. Prather;Perry Wang
    Teacher: 林哲群
    Date: 2004
    Publisher: Asian Real Estate Society
    Relation: The 9th AsRES Annual Conference,Asian Real Estate Society, New Delhi, India
    Keywords: Mortgage
    default probabilities
    Abstract: We explore the effect of mortgage curtailment payments on subsequent default probabilities. Although curtailment is not popular in western countries, it is the dominant form of prepayment in Asia. Using more than 6 years of mortgage performance records from an Asian bank, we investigate the impact of curtailment payments on mortgage default risk. The results of logistic regressions reveal that the cumulative curtailment is the most significant factor in predicting the future default probabilities of a seasoned mortgage pool. Thus, mortgage modeling for Asian countries should be different from mortgage modeling for western countries.
    Appears in Collections:[Department of Quantitative Finance] QF Conference Papers

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