Stay, Pay, or Walk Away: A Hazard Rate Analysis of Federal Housing Administration–Insured Multifamily Mortgage Terminations
- Topics:
- Property
- Tags:
- Administration,
- Analysis,
- Capital Structures,
- Fannie Mae,
- Finance,
- Human Resources,
- Mortgages,
- Termination,
- Workforce Management
- Source:
- Fannie Mae
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Overview: "This study presents a competing-risk proportional hazard model of Federal Housing Administration (FHA)–insured multifamily mortgage prepayment and claim behavior. Estimates of multifamily prepayment and claim hazards in a competing-risk framework are provided. A bivariate Heckman-Singer nonparametric random effects distribution is used to control for unobserved heterogeneity in the form of missing covariates likely to be important in the prepayment and claim risks. A comparison of results suggests that estimates are not sensitive to whether a competing-risk model is used or the two risks are estimated separately. However, because the initial loan-to-value and debt coverage ratios are unavailable in the data, failure to control for unobserved heterogeneity leads to severe downward biases in the coefficient estimates."
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Format: PDF | Size: 438KB | Date: Jan 2003 | Pages: 34
