deRitis, Cristian; Kuo, Chionglong; Liang, Yongping - In: Journal of Housing Economics 19 (2010) 4, pp. 295-314
The effect of payment shocks on subprime hybrid ARM mortgage prepayment and delinquency is examined. Using loan level data from private label securities, we modeled the effects of payment shocks on mortgage performance. Our study provided interesting empirical results in three main areas: First,...