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A Generalized Valuation Model for Fixed-Rate Residential Mortgages.. (1992). Muller, Walter ; Kau, James.
In: Journal of Money, Credit and Banking.
RePEc:mcb:jmoncb:v:24:y:1992:i:3:p:279-99.

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  1. The role of interest rate environment in mortgage pricing. (2024). Ahmad, Ferhana ; Shehzad, Choudhry Tanveer.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:89:y:2024:i:pa:p:225-245.

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  2. Do economic uncertainty and persistence in housing prices matter on mortgage insurance?. (2024). Yang, Chih-Yuan ; Chang, Chia-Chien.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:95:y:2024:i:c:p:33-44.

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  3. Residual-debt insurance and mortgage repayments. (2024). Mastrogiacomo, Mauro ; Kim, Yeorim.
    In: Working Papers.
    RePEc:dnb:dnbwpp:823.

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  4. Valuation of Reverse Mortgages with Default Risk Models. (2023). Tang, Junsen ; Bernard, Carole ; Kolkiewicz, Adam.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09862-0.

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  5. Bowling alone, buying alone: The decline of co-borrowers in the US mortgage market. (2022). Jakucionyte, Egle ; Singh, Swapnil ; Jakuionyt, Egl.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:58:y:2022:i:pb:s1051137722000481.

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  6. On non-negative equity guarantee calculations with macroeconomic variables related to house prices. (2022). Tunaru, Radu ; Quaye, Enoch ; Badescu, Alexandru.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:103:y:2022:i:c:p:119-138.

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  7. Mortgage Contracts and Underwater Default. (2022). Kitapbayev, Yerkin ; Robertson, Scott.
    In: Papers.
    RePEc:arx:papers:2005.03554.

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  8. Determining an Optimal Principal Limit Factor for Reverse Mortgages under Economics-Based Models. (2021). Chiang, Shu Ling ; Tsai, Ming Shann.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:63:y:2021:i:4:d:10.1007_s11146-020-09786-1.

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  9. What Broker Charges Reveal About Subprime Mortgage Credit Risk. (2021). Sands, Patrik ; Hollifield, Burton ; Berndt, Antje.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:63:y:2021:i:2:d:10.1007_s11146-020-09774-5.

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  10. Spatial Dependence in Subprime Mortgage Defaults. (2021). kim, mi lim ; keenan, donald ; Heinen, Andréas ; Kau, James B.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:62:y:2021:i:1:d:10.1007_s11146-019-09708-w.

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  11. A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach. (2021). Fang, LU ; Munneke, Henry J.
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:86:y:2021:i:c:s0166046220302805.

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  12. Reinforcement learning and mortgage partial prepayment behavior. (2021). Gu, Quanlin ; Deng, Yongheng ; He, Jia.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x1930527x.

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  13. Bowling Alone, Buying Alone: The Decline of Co-Borrowers in the US Mortgage Market. (2020). Singh, Swapnil ; Jakucionyte, Egle.
    In: Bank of Lithuania Working Paper Series.
    RePEc:lie:wpaper:78.

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  14. Mortgage Pricing Implications of Prepayment: Separating Pecuniary and Non-pecuniary Prepayment. (2020). Fang, LU.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:60:y:2020:i:3:d:10.1007_s11146-019-09735-7.

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  15. Fannie Mae and Freddie Mac: Risk-Taking and the Option to Change Strategy. (2020). Order, Robert ; Thomas, Jason.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:60:y:2020:i:3:d:10.1007_s11146-018-9679-7.

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  16. A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes. (2020). Bravo, Jorge ; Chamboko, Richard.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:2:p:64-:d:369662.

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  17. Some nontrivial properties of a formula for compound interest. (2020). Whitmeyer, Mark ; Sonin, Isaac M.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318307189.

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  18. Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach. (2019). Selcuk-Kestel, Sevtap A ; Yilmaz, Bilgi.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9688-6.

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  19. Evaluation of Mortgage Default Characteristics Using Fannie Mae’s Loan Performance Data. (2019). Ahlawat, Samit.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9686-8.

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  20. An Unintended Consequence of Mortgage Financing Regulation – a Racial Disparity. (2019). Fang, LU ; Kau, James B ; Munneke, Henry J.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9683-y.

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  21. How Big are the Ambiguity-Based Premiums on Mortgage Insurances?. (2019). Chang, Chia-Chien ; Chen, Chang-Chih.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:58:y:2019:i:1:d:10.1007_s11146-016-9569-9.

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  22. Continuous Workout Mortgages: Efficient pricing and systemic implications. (2019). Shackleton, Mark ; Ebrahim, Shahid M ; Shiller, Robert J ; Wojakowski, Rafal M.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:157:y:2019:i:c:p:244-274.

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  23. Comparison of Two Affordable Housing Finance Channels. (2018). Miller, Chen L.
    In: International Real Estate Review.
    RePEc:ire:issued:v:21:n:02:2018:p:227-250.

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  24. Re-Default Risk of Modified Mortgages. (2018). Yang, Tyler T ; Xiang, Jin ; Chen, Jian.
    In: International Real Estate Review.
    RePEc:ire:issued:v:21:n:01:2018:p:1-40.

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  25. How do mortgage refinances affect debt, default, and spending? Evidence from HARP. (2018). Fuster, Andreas ; Abel, Joshua.
    In: Staff Reports.
    RePEc:fip:fednsr:841.

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  26. A stochastic partial differential equation model for the pricing of mortgage-backed securities. (2018). Ledger, S ; Ahmad, F ; Hambly, B M.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:128:y:2018:i:11:p:3778-3806.

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  27. Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance. (2018). Marcato, Gianluca ; Michel, Lok Man.
    In: ERES.
    RePEc:arz:wpaper:eres2018_300.

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  28. Some Nontrivial Properties of a Formula for Compound Interest. (2018). Whitmeyer, Mark ; Sonin, Isaac M.
    In: Papers.
    RePEc:arx:papers:1809.10566.

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  29. Valuing Vulnerable Mortgage Insurance Under Capital Forbearance. (2017). Yu, Min-Teh ; Chang, Chia-Chien.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:54:y:2017:i:4:d:10.1007_s11146-015-9535-y.

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  30. Mortgage-default research and the recent foreclosure crisis. (2017). Willen, Paul ; Foote, Christopher.
    In: Working Papers.
    RePEc:fip:fedbwp:17-13.

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  31. Fair valuation of mortgage insurance under stochastic default and interest rates. (2017). Huang, Yi-Ting ; Wu, Yang-Che ; Lin, Shih-Kuei ; Chuang, Ming-Che.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:433-447.

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  32. Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Ebrahim, Shahid M ; Shiller, Robert J ; Wojakowski, Rafal M ; Shackleton, Mark B.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:3016.

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  33. Continuous Workout Mortgages: Efficient Pricing and Systemic Implications. (2017). Shiller, Robert ; Shackleton, Mark ; Ebrahim, Shahid M ; Wojakowski, Rafal M.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2116.

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  34. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Longstaff, Francis ; Chernov, Mikhail ; Dunn, Brett R.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22096.

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  35. Unemployment as an Adverse Trigger Event for Mortgage Default. (2016). Riley, Sarah ; Quercia, Roberto ; Tian, Chao.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:52:y:2016:i:1:p:28-49.

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  36. Costly Screening, Self-Selection, Fraud, and the Organization of Credit Markets. (2016). Yezer, Anthony ; Yu, Pingkang.
    In: Working Papers.
    RePEc:gwi:wpaper:2016-4.

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  37. “Modelling and forecasting mortgage delinquency and foreclosure in the UK.”. (2016). muellbauer, john ; Aron, Janine.
    In: Journal of Urban Economics.
    RePEc:eee:juecon:v:94:y:2016:i:c:p:32-53.

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  38. FHA loan performance and adverse selection in mortgage insurance. (2016). Park, Kevin A.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:34:y:2016:i:c:p:82-97.

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  39. Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages. (2016). Shackleton, Mark ; Ebrahim, Shahid M ; Wojakowski, Rafal M.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:71:y:2016:i:c:p:62-74.

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  40. Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model. (2016). Vickery, James ; Kovner, Anna ; Hirtle, Beverly ; Bhanot, Meru.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:69:y:2016:i:s1:p:s35-s55.

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  41. The good, the bad and the impaired: A credit risk model of the Irish mortgage market. (2016). O'Malley, Terry ; Kelly, Robert ; Omalley, Terence .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:22:y:2016:i:c:p:1-9.

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  42. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. (2016). Chernov, Mikhail ; Longstaff, Francis ; Dunn, Brett R.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10947.

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  43. The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks. (2016). Fan, Gang-Zhi ; Pu, Ming ; Ban, Chunsheng .
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:83:y:2016:i:2:p:447-474.

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  44. .

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  45. Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis. (2015). Reesor, R. ; Naseem, Almas .
    In: Computational Management Science.
    RePEc:spr:comgts:v:12:y:2015:i:1:p:45-79.

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  46. Default and prepayment modelling in participating mortgages. (2015). Yildirim, Yildiray ; Varlı, Yusuf ; Varli, Yusuf.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:81-88.

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  47. Deleveraging and mortgage curtailment. (2015). McCollum, Meagan ; Pace, Kelley R ; Lee, Hong.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:60:y:2015:i:c:p:60-75.

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  48. Effects of prepayment regulations on termination of subprime mortgages. (2015). Steinbuks, Jevgenijs.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:445-456.

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  49. Strategic Mortgage Default: The Effect of Neighborhood Factors. (2015). Cutts, Amy ; Liu, Wei ; Bradley, Michael G.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:43:y:2015:i:2:p:271-299.

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  50. Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung — Über den separaten Ausweis von Margen- und Kursschäden. (2014). Gramatke, Wolf Christoph ; Balder, Sven ; Sydow, Jorg ; Muller-Seitz, Gordon ; Mahayni, Antje.
    In: Schmalenbach Journal of Business Research.
    RePEc:spr:sjobre:v:66:y:2014:i:1:d:10.1007_bf03372890.

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  51. First Mortgages, Second Mortgages, and Their Default. (2014). keenan, donald ; Kau, James ; Lyubimov, Constantine.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:48:y:2014:i:4:p:561-588.

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  52. Breakeven Determination of Loan Limits for Reverse Mortgages under Information Asymmetry. (2014). Fan, Gang-Zhi ; Deng, Yongheng ; Pu, Ming.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:48:y:2014:i:3:p:492-521.

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  53. VALUATION OF MORTGAGE INSURANCE CONTRACTS WITH COUNTERPARTY DEFAULT RISK: REDUCED-FORM APPROACH. (2014). Chang, Chia-Chien.
    In: ASTIN Bulletin.
    RePEc:cup:astinb:v:44:y:2014:i:02:p:303-334_00.

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  54. A Transitions-Based Model of Default for Irish Mortgages. (2014). O'Malley, Terry ; Kelly, Robert.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:17/rt/14.

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  55. Payment Size, Negative Equity, and Mortgage Default. (2013). Willen, Paul ; Fuster, Andreas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19345.

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  56. Testing for Fraud in the Residential Mortgage Market: How Much Did Early-Payment-Defaults Overpay for Housing?. (2013). Carrillo, Paul.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:47:y:2013:i:1:p:36-64.

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  57. Systemic risk and the refinancing ratchet effect. (2013). merton, robert ; Lo, Andrew ; Khandani, Amir E..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:108:y:2013:i:1:p:29-45.

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  58. The inefficiency of refinancing: Why prepayment penalties are good for risky borrowers. (2013). Piskorski, Tomasz ; Mayer, Chris ; Tchistyi, Alexei.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:3:p:694-714.

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  59. Mortgage valuation: a quasi-closed-form solution. (2012). Viegas, Cristina ; Azevedo-Pereira, Jose.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:7:p:993-1001.

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  60. Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations. (2012). Hurlimann, Werner.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:35:y:2012:i:2:p:171-202.

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  61. Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market. (2012). Huang, Wei-Yi ; Shyu, So-De ; Chang, Chia-Chien.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:45:y:2012:i:4:p:846-868.

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  62. The Optimal Mortgage Loan Portfolio in UK Regional Residential Real Estate. (2012). Hwang, Soosung ; Cho, Youngha ; Satchell, Steve.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:45:y:2012:i:3:p:645-677.

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  63. Payment size, negative equity, and mortgage default. (2012). Willen, Paul ; Fuster, Andreas.
    In: Staff Reports.
    RePEc:fip:fednsr:582.

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  64. Payment size, negative equity, and mortgage default. (2012). Willen, Paul ; Fuster, Andreas.
    In: Public Policy Discussion Paper.
    RePEc:fip:fedbpp:12-10.

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  65. On the valuation of reverse mortgages with regular tenure payments. (2012). Lee, Yung-Tsung ; Huang, Hong-Chih ; Wang, Chou-Wen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:2:p:430-441.

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  66. Household leverage. (2012). Corradin, Stefano.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121452.

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  67. Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US. (2011). Daglish, Toby ; Patel, Nimesh.
    In: Working Paper Series.
    RePEc:vuw:vuwcsr:4107.

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  68. Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US. (2011). Daglish, Toby ; Patel, Nimesh.
    In: Working Paper Series.
    RePEc:vuw:vuwcsr:19215.

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  69. The Optimal Choice for Lenders Facing Defaults: Short Sale, Foreclose, or REO. (2011). Clauretie, Terrence.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:42:y:2011:i:4:p:504-521.

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  70. Leverage and Mortgage Foreclosures. (2011). keenan, donald ; Kau, James ; Smurov, Alexey .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:42:y:2011:i:4:p:393-415.

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  71. An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects. (2011). keenan, donald ; Kau, James ; Li, Xiaowei.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:42:y:2011:i:1:p:51-67.

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  72. Beyond the transaction: depository institutions and reduced mortgage default for low-income homebuyers. (2011). Moulton, Stephanie ; Ergungor, Ozgur.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1115.

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  73. Lending sociodynamics and economic instability. (2011). Hawkins, Raymond J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:23:p:4355-4369.

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  74. Wages, inflation, and mortgage design. (2011). Nejadmalayeri, Ali.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:5:p:503-516.

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  75. Participating mortgages and the efficiency of financial intermediation. (2011). Wojakowski, Rafal ; Shackleton, Mark ; Ebrahim, M. Shahid.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:3042-3054.

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  76. The Good, The Bad and The Impaired - A Credit Risk Model of the Irish Mortgage Market. (2011). Kelly, Robert.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:13/rt/11.

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  77. The Inefficiency of Refinancing: Why Prepayment Penalties Are Good for Risky Borrowers. (2010). Mayer, Christopher ; Tchistyi, Alexei.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16586.

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  78. Housing default: theory works and so does policy. (2010). Smith, Brent C. ; Goodman, Allen C..
    In: Working Paper.
    RePEc:fip:fedrwp:10-10.

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  79. Housing markets and the financial crisis of 2007-2009: lessons for the future. (2010). Murphy, Anthony ; muellbauer, john ; Duca, John.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:33613.

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  80. Residential mortgage default: Theory works and so does policy. (2010). Smith, Brent C. ; Goodman, Allen C..
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:19:y:2010:i:4:p:280-294.

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  81. Housing markets and the financial crisis of 2007-2009: Lessons for the future. (2010). Murphy, Anthony ; muellbauer, john ; Duca, John.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:6:y:2010:i:4:p:203-217.

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  82. Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts. (2010). Shyu, So-De ; Lin, Shih-Kuei ; Chen, Ming-Chi ; Chang, Chia-Chien.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:77:y:2010:i:2:p:399-422.

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  83. Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans. (2009). Palmroos, Peter.
    In: Bank of Finland Research Discussion Papers.
    RePEc:zbw:bofrdp:rdp2009_003.

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  84. Systemic Risk and the Refinancing Ratchet Effect. (2009). merton, robert ; Lo, Andrew ; Khandani, Amir E..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15362.

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  85. Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market. (2009). Deng, Yongheng ; Liu, Peng.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:38:y:2009:i:3:p:214-240.

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  86. The subprime mortgage crisis: irrational exuberance or rational error?. (2009). Martin, Robert ; Kojucharov, Nikola ; Xu, Lili.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2009:i:jan:x:12.

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  87. What motivates a subprime borrower to default?. (2009). Daglish, Toby.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:4:p:681-693.

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  88. Effects of unobserved defaults on correlation between probability of default and loss given on mortgage loans. (2009). Palmroos, Peter.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2009_003.

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  112. Surrender Rate Impacts on Asset Liability Management. (2005). Kim, Changki.
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  114. Housing Policy and Mortgage Finance in Turkey During the Late 1990s Inflationary Period. (2004). Erol, Isil ; Patel, Kanak.
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  116. An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?. (2003). Stanton, Richard ; Wallace, Nancy E. ; Downing, Chris .
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    In: 2003 Regional Committee NCT-194, October 6-7, 2003; Kansas City, Missouri.
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  118. Enhancing Mortgage Credit Availability Among Underserved And Higher Credit-Risk Populations: An Assessment Of Default And Prepayment Option Exercise Among Fha-Insured Borrowers. (2002). Gabriel, Stuart ; Deng, Yongheng.
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  124. Availability of Mortgage Loans in Volatile Real Estate Markets. (2000). Marschoun, Michael.
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