Unobservable Risks in Mortgage Contract Choice
This study proposes a lifetime utility maximization model, where borrowers choose optimal mortgage bundles including mortgage type, LTV and loan size to maximize their allocation of limited budgets between housing and non-housing consumptions. The model predicts that the mortgage bundles choice by borrowers of different income and risk attributes explains significant variations in the ex-post default risks of the borrowers. The empirical tests using sampled mortgages pooled in non-agency residential mortgage backed securities support the hypothesis that the optimal choice of mortgage bundles reveals hidden risk factors of borrowers, of which if ignored, could lead to misjudgment of ex-post default of borrowers
Year of publication: |
2012
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Authors: | Liu, Bo |
Other Persons: | Sing, Tien Foo (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Kreditrisiko | Credit risk | Hypothek | Mortgage | Nutzenmaximierung | Utility maximization | Bank | Lebenszyklus | Life cycle | Privater Konsum | Private consumption | Wohnimmobilien | Residential real estate | Verbrauchereinstellung | Consumer attitudes |
Description of contents: | Abstract [papers.ssrn.com] |
Saved in:
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Real Estate Economics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 7, 2012 erstellt Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013102423
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