{"id":"https://openalex.org/W2124499267","doi":"https://doi.org/10.1111/1540-6229.00760","title":"An Analysis of the Ex Ante Probabilities of Mortgage Prepayment and Default","display_name":"An Analysis of the Ex Ante Probabilities of Mortgage Prepayment and Default","publication_year":1998,"publication_date":"1998-12-01","ids":{"openalex":"https://openalex.org/W2124499267","doi":"https://doi.org/10.1111/1540-6229.00760","mag":"2124499267"},"language":"en","primary_location":{"id":"doi:10.1111/1540-6229.00760","doi":"https://doi.org/10.1111/1540-6229.00760","is_oa":false,"landing_page_url":"https://doi.org/10.1111/1540-6229.00760","pdf_url":null,"source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=124068","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108788619","display_name":"Tyler T. Yang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210146107","display_name":"PricewaterhouseCoopers (United States)","ror":"https://ror.org/03g75kz98","country_code":"US","type":"company","lineage":["https://openalex.org/I4210133790","https://openalex.org/I4210146107"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tyler T. Yang","raw_affiliation_strings":["PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or [email protected]","PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or tyler.yang@us.pwcglobal.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or [email protected]","institution_ids":["https://openalex.org/I4210146107"]},{"raw_affiliation_string":"PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or tyler.yang@us.pwcglobal.com","institution_ids":["https://openalex.org/I4210146107"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5034521718","display_name":"Henry Buist","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Henry Buist","raw_affiliation_strings":["Fannie Mae 1H1W:19, Washington, DC 20016 or [email protected]","Fannie Mae 1H1W:19, Washington, DC 20016 or henry_buist@fanniemae.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Fannie Mae 1H1W:19, Washington, DC 20016 or [email protected]","institution_ids":[]},{"raw_affiliation_string":"Fannie Mae 1H1W:19, Washington, DC 20016 or henry_buist@fanniemae.com","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111713402","display_name":"Isaac F. Megbolugbe","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210146107","display_name":"PricewaterhouseCoopers (United States)","ror":"https://ror.org/03g75kz98","country_code":"US","type":"company","lineage":["https://openalex.org/I4210133790","https://openalex.org/I4210146107"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Isaac F. Megbolugbe","raw_affiliation_strings":["PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or [email protected]","PricewaterhouseCoopers LLP, Arlington, VA 22209\u20103100 or isaac.megbolugbe@us.pwcglobal.com"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"PricewaterhouseCoopers LLP, Arlington, VA 22209-3100 or [email protected]","institution_ids":["https://openalex.org/I4210146107"]},{"raw_affiliation_string":"PricewaterhouseCoopers LLP, Arlington, VA 22209\u20103100 or isaac.megbolugbe@us.pwcglobal.com","institution_ids":["https://openalex.org/I4210146107"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3400,"currency":"USD","value_usd":3400},"apc_paid":null,"fwci":3.7939,"has_fulltext":false,"cited_by_count":47,"citation_normalized_percentile":{"value":0.93784764,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"26","issue":"4","first_page":"651","last_page":"676"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.975600004196167,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10632","display_name":"Housing Market and Economics","score":0.975600004196167,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.011300000362098217,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.006000000052154064,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mortgage-prepayment","display_name":"mortgage prepayment","score":0.9959999918937683},{"id":"https://openalex.org/keywords/mortgage-default","display_name":"mortgage default","score":0.9959999918937683},{"id":"https://openalex.org/keywords/contingent-claims-model","display_name":"contingent claims model","score":0.7329999804496765},{"id":"https://openalex.org/keywords/competing-risks","display_name":"competing risks","score":0.7300000190734863},{"id":"https://openalex.org/keywords/household-income","display_name":"household income","score":0.7829999923706055},{"id":"https://openalex.org/keywords/housing-prices","display_name":"housing prices","score":0.628000020980835},{"id":"https://openalex.org/keywords/spot-interest-rates","display_name":"spot interest rates","score":0.7689999938011169},{"id":"https://openalex.org/keywords/mortgage-pricing","display_name":"mortgage pricing","score":0.49799999594688416}],"concepts":[{"id":"https://openalex.org/C130424004","wikidata":"https://www.wikidata.org/wiki/Q460189","display_name":"Prepayment of loan","level":2,"score":0.9952647686004639},{"id":"https://openalex.org/C43039823","wikidata":"https://www.wikidata.org/wiki/Q6914671","display_name":"Mortgage underwriting","level":5,"score":0.7537439465522766},{"id":"https://openalex.org/C122251271","wikidata":"https://www.wikidata.org/wiki/Q940039","display_name":"Ex-ante","level":2,"score":0.707175612449646},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6530551910400391},{"id":"https://openalex.org/C2984055962","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Default risk","level":3,"score":0.6031219363212585},{"id":"https://openalex.org/C26503482","wikidata":"https://www.wikidata.org/wiki/Q1898080","display_name":"Underwriting","level":2,"score":0.5712495446205139},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4975626766681671},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.48800554871559143},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44309818744659424},{"id":"https://openalex.org/C97330809","wikidata":"https://www.wikidata.org/wiki/Q4202997","display_name":"Mortgage insurance","level":4,"score":0.4319899082183838},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.418061763048172},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3684631884098053},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.23303940892219543},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22696229815483093},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.2246638834476471},{"id":"https://openalex.org/C68799949","wikidata":"https://www.wikidata.org/wiki/Q977871","display_name":"Insurance policy","level":2,"score":0.11310708522796631},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.08018207550048828},{"id":"https://openalex.org/C22738907","wikidata":"https://www.wikidata.org/wiki/Q3813256","display_name":"Casualty insurance","level":3,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1111/1540-6229.00760","doi":"https://doi.org/10.1111/1540-6229.00760","is_oa":false,"landing_page_url":"https://doi.org/10.1111/1540-6229.00760","pdf_url":null,"source":{"id":"https://openalex.org/S129086836","display_name":"Real Estate Economics","issn_l":"1080-8620","issn":["1080-8620","1540-6229"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Real Estate Economics","raw_type":"journal-article"},{"id":"mag:3121504595","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=124068","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null}],"best_oa_location":{"id":"mag:3121504595","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=124068","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W196805056","https://openalex.org/W1496649249","https://openalex.org/W1515478451","https://openalex.org/W1979324838","https://openalex.org/W2013923899","https://openalex.org/W2017095043","https://openalex.org/W2026132529","https://openalex.org/W2066694139","https://openalex.org/W2073108281","https://openalex.org/W2076057077","https://openalex.org/W2077395837","https://openalex.org/W2133293037","https://openalex.org/W2139308460","https://openalex.org/W6607995598"],"related_works":["https://openalex.org/W2073757149","https://openalex.org/W1544131700","https://openalex.org/W1990731679","https://openalex.org/W2073108281","https://openalex.org/W7095111667","https://openalex.org/W2472319047","https://openalex.org/W3023588045","https://openalex.org/W2587409052","https://openalex.org/W2995989640","https://openalex.org/W7096303283"],"abstract_inverted_index":{"Observed":[0],"mortgage":[1,22,87],"prepayment":[2,35,93,101],"and":[3,36,38,70,102],"default":[4,37,103],"rates":[5,15,104],"have":[6,26],"been":[7,27],"far":[8],"different":[9,46],"than":[10],"the":[11,31,59,66,71,107],"ruthless":[12],"option":[13],"exercise":[14],"predicted":[16],"by":[17],"contingent":[18],"claims":[19],"models":[20],"of":[21,34,48,76,82,86],"pricing.":[23],"The":[24,74,84],"discrepancies":[25],"attributed":[28],"to":[29,39,113],"both":[30],"competing\u2010risk":[32],"nature":[33],"transactions":[40],"costs.":[41],"This":[42],"paper":[43],"tries":[44],"a":[45,52],"means":[47],"reconciliation.":[49],"We":[50],"introduce":[51],"third":[53],"stochastic":[54],"process,":[55],"household":[56],"income,":[57],"into":[58],"usual":[60],"pricing":[61],"model":[62,109],"that":[63],"includes":[64],"only":[65],"spot":[67],"interest":[68],"rate":[69],"house":[72],"price.":[73],"presence":[75],"income":[77],"allows":[78],"considering":[79],"consumption\u2010theoretic":[80],"determinants":[81],"termination.":[83],"role":[85],"underwriting":[88],"rules":[89],"in":[90],"restricting":[91],"optimal":[92],"is":[94],"also":[95],"explicitly":[96],"modeled.":[97],"Numerical":[98],"ex":[99],"ante":[100],"based":[105],"on":[106],"theoretical":[108],"come":[110],"much":[111],"closer":[112],"historical":[114],"experience.":[115]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}