use historical data on mortgages originated between January 1989 and June 1999.We estimate separate models for two popular … redemption types: savings mortgages and interest-only mortgages.In both models we allow for suboptimal prepayment behaviour …

This paper demonstrates that the reason for widespread default of mortgages in the subprime market was a sudden … reversal in the house price appreciation of the early 2000's. Using loan-level data on subprime mortgages, we observe that the … majority of subprime loans were hybrid adjustable rate mortgages, designed to impose substantial financial burden on reset to …