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The failure of models that predict failure : distance, incentives, and defaults

Rajan, Uday; Seru, Amit; Vig, Vikrant - In: Journal of financial economics 115 (2015) 2, pp. 237-260

Persistent link: https://www.econbiz.de/10011347528

Optimal incentives and securitization of defaultable assets

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - In: Journal of financial economics 107 (2013) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10009715167

An empirical comparison of classification algorithms for mortgage default prediction : evidence from a distressed mortgage market

Fitzpatrick, Trevor; Mues, Christophe - In: European journal of operational research : EJOR 249 (2016) 2, pp. 427-439

Persistent link: https://www.econbiz.de/10011436704

A Model of Mortgage Default

Campbell, John Y. - 2011

This paper solves a dynamic model of a household's decision to default on its mortgage, taking into account labor income, house price, inflation, and interest rate risk. Mortgage default is triggered by negative home equity, which results from declining house prices in a low inflation...

Persistent link: https://www.econbiz.de/10013119572

Mortgage Default, Foreclosure, and Bankruptcy

Li, Wenli - 2009

In this paper we examine the relationship between homeowners' bankruptcy decisions and their mortgage default decisions … and the relationship between homeowners' bankruptcy decisions and lenders' decisions to foreclose. In theory, both … relationships could be either substitutes or complements. Bankruptcy and default tend to be substitutes because homeowners' budgets …

Persistent link: https://www.econbiz.de/10013155027

Means-Tested Mortgage Modification : Homes Saved or Income Destroyed?

Mulligan, Casey B. - 2009

This paper uses the theories of price discrimination and optimal taxation to investigate effects of underwater mortgages on foreclosures and the incentives to earn income, and the degree to which those effects are shaped by public policy. I find that the federal government's means-tested...

Persistent link: https://www.econbiz.de/10013156860

Moral and Social Constraints to Strategic Default on Mortgages

Guiso, Luigi - 2009

We use survey data to study American households' propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). We find that 26% of the existing defaults are strategic. We also find that no household...

Persistent link: https://www.econbiz.de/10013158025

Deciphering the Liquidity and Credit Crunch 2007-08

Brunnermeier, Markus K. - 2010

This paper summarizes and explains the main events of the liquidity and credit crunch in 2007-08. Starting with the trends leading up to the crisis, I explain how these events unfolded and how four different amplification mechanisms magnified losses in the mortgage market into large dislocations...

Persistent link: https://www.econbiz.de/10012758056

Mortgage Default and Low Downpayment Loans : The Costs of Public Subsidy

Deng, Yongheng - 2010

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...

Persistent link: https://www.econbiz.de/10012763726

Saving Your Home in Chapter 13 Bankruptcy

White, Michelle J. - 2008

This paper examines how filing for bankruptcy under Chapter 13 helps financially distressed debtors save their homes …. We develop a model of debtors' decisions to default on their mortgages and file for bankruptcy under Chapter 13 and … evaluate the model using new data on Chapter 13 bankruptcy filers. We also examine the effect of allowing bankruptcy judges to …

Persistent link: https://www.econbiz.de/10012770878