The real estate finance literature provides rich insights into circumstances that expose mortgage borrowers to risk. However, there is no characterization of how mortgage contracts might play a role in helping households manage their portfolio risks. This paper provides a framework for...

This paper uses the first-passage-time approach to estimate default probabilities of commercial mortgages and the Receiver Operating Characteristic (ROC) approach to empirically test the cash flow proposition of Vandell (1995). The focus is on comparing the performance between a single trigger...

House prices in the United States rose 14 percent in real terms during the 1990s; by historical standards, this was strong performance. Some analysts have worried that this performance was too strong, perhaps indicating an asset bubble, and could not be explained by fundamentals. This paper...