#2005-029A "A Dynamic Look at Subprime Loan Performance"
by Michelle A. Danis, and Anthony Pennington-Cross
May 2005

This paper examines the implications of delinquency on the performance of subprime mortgages. Specifically, we examine whether delinquency has any predictive power of the future performance of a mortgage. More...

PUBLISHED: Journal of Fixed Income, June 2005, 15(1), pp. 28-39

#2005-022A "The Delinquency of Subprime Mortgages"
by Michelle A. Danis, and Anthony Pennington-Cross
March 2005

This paper focuses on understanding the determinants of the performance of subprime mortgages. A growing body of literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the termination of the loan. More...