This paper presents a unified model of the default and prepayment behavior of homeowners in a proportional hazard … framework. The model uses the option-based approach to analyze default and prepayment and considers these two interdependent … hazards as competing risks. The results indicate the sensitivity of default to the initial loan-to-value ratio of the loan and …

In this paper we examine the relationship between homeowners' bankruptcy decisions and their mortgage default decisions … neighborhood raise homeowners' probability of filing, higher default rates raise homeowners' probability of defaulting, and higher … and the relationship between homeowners' bankruptcy decisions and lenders' decisions to foreclose. In theory, both …

standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50% … asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple … across the 2003-2007 subprime cohorts. To identify the elasticity of default with respect to housing prices, I use various …

Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage during Chapter 13 …

or default. A structurally estimated model of mortgage pricing with asymmetric information suggests that bunching at the … a house in coastal areas may be at increasing risk of defaulting on their mortgage. Commercial banks have the ability to … Mortgage Association, commonly known as Fannie Mae, and the Federal Home Loan Mortgage Corporation, known as Freddie Mac. In …

Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …-to-value ratio from 145 to 95 (holding the payment fixed). These findings shed light on the driving forces behind default behavior …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … of a transfer from the sovereign risk to corporate default risks may be mitigated by legal institutions that provide … strong property rights protection. Using a novel credit default swaps (CDS) dataset covering both government and corporate …