mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution … mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

stabilization of the homeowner’s net wealth, price the instruments, and quantify the expected decrease in the mortgage default risk …