Park, Yun W.; Bang, Doo Won - In: Journal of Banking & Finance 39 (2014) C, pp. 192-210
Using loan-level foreclosure auction data we study the loss given default (LGD) of defaulted residential mortgages originated in Korea, a low LTV regime. We find that senior mortgages generate very low loss rates (5–10%) while losses of subordinated claims are in 30–50% range. We document...