Macroeconomic Adverse Selection and Model Instability in Mortgage Credit Risk

This paper explains how unobserved borrower risk factors and changing economic expectations can interact to create vintage effects and parameter instability in mortgage credit risk models. We develop a model of mortgage choice and default behavior that demonstrates how this could have led to underestimation of the risk of high LTV mortgages before the crisis. This analysis offers some guidance for reducing model risk

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Year of publication:	2017
Authors:	Einloth, James
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Adverse Selektion \| Adverse selection \| Hypothek \| Mortgage \| Kreditrisiko \| Credit risk \| Theorie \| Theory

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.2916164 [DOI]
Classification:	G20 - Financial Institutions and Services. General ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012963135