credit scores, in contrast to the low income population targeted by subprime mortgages. Complex mortgage borrowers have … significantly higher delinquency rates than traditional mortgage borrowers even after controlling for leverage, payment resets, and …

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the … mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial …

This paper explores the practice of mortgage refinancing in a dynamic competitive lending model with risky borrowers … prevents the mortgage pools from becoming disproportionately composed of the riskiest borrowers over time. Mortgages with … prepayment penalties allow lenders to lower mortgage rates and extend credit to the least creditworthy, with the largest benefits …

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 environment with large mortgage balances outstanding. Not all households …

Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an …) closed form formulas for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the … actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable …

affect housing investment and the economy through the cost of new mortgage borrowing and real payments on outstanding debt …

We develop a tractable general equilibrium framework of housing and mortgage markets with aggregate and idiosyncratic … risks, costly liquidity and strategic defaults, empirically relevant informational asymmetries, and endogenous mortgage …' homeownership values are known, aggregate wages and house prices determine the optimal state-contingent mortgage payments, which …

A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and … delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and … information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …