This paper examines the impact of refinance on mortgage default, based on an empirical investigation of Home Affordable Refinance Program. We study a unique dataset which includes both HARP loans and HARP-eligible loans that did not refinance. Using a range of methodologies it is shown that...

It is shown that the one-factor Hull-White model can be used in the modern derivative multiple-curve valuation framework. For vanilla instruments such as caps and European swaptions, closed-form pricing formulae are derived

The GDP tournament among local governments plays a crucial role in supporting China's growth miracle. Investment-driven economic growth has led to a surge in local government debt in the past decade. To understand the relationship between local government debt and regional competition in GDP...

This paper evaluates the effect of payment reduction on mortgage default within the context of the Home Affordable Refinance Program (HARP). We find that mortgage default is sensitive to payment reduction using univariate, duration, and hazard modeling approaches. A relative risk Cox model of...

This paper examines the impact of refinancing on mortgage defaults based on an empirical investigation of the Home Affordable Refinance Program (HARP). We study a unique dataset from Freddie Mac which includes loans funded right before and after the HARP eligibility cutoff date, an exogenous...

This paper evaluates the effect of payment reduction on mortgage default within the context of the Home Affordable Refinance Program (HARP). We find that mortgage default is sensitive to payment reduction across univariate, duration, and hazard modeling approaches. A relative risk Cox model of...

This paper examines the impact of refinancing on mortgage defaults based on an empirical investigation of the Home Affordable Refinance Program (HARP). We study a unique dataset from Freddie Mac which includes loans funded right before and after the HARP eligibility cutoff date, an exogenous...

This paper shows that, in certain high dimensional integration problems, quasi-Monte Carlo using Sobol sequences can never be more efficient than the ordinary Monte Carlo no matter how carefully the primitive polynomials and initialization numbers are chosen