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Collateral pledge, sunk-cost fallacy and mortgage default
Agarwal, Sumit; Green, Richard K.; Rosenblatt, Eric; … - In: Journal of financial intermediation 24 (2015) 4, pp. 636-652
Persistent link: https://www.econbiz.de/10011526286
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Collateral Pledge, Sunk-Cost Fallacy and Mortgage Default
Agarwal, Sumit - 2014
Individuals and firms pledge collateral to mitigate agency costs or contracting frictions in a world with asymmetric … firms and individuals should default on their debt contract irrespective of the initial collateral pledged. In this paper …, we estimate default models and find that after controlling for mark-to-market asset valuation, initial collateral remains …
Persistent link: https://www.econbiz.de/10013052915
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Second liens and the holdup problem in mortgage renegotiation
Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - 2014
Persistent link: https://www.econbiz.de/10010352009
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Second liens and the holdup problem in mortgage renegotiation
Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - 2014
When borrowers are delinquent, senior debtholders prefer liquidation whereas junior debtholders prefer to maintain their option value by delaying resolution or modifying the loan. In the mortgage market, a conflict of interest (“holdup”) arises when servicers of securitized senior liens are...
Persistent link: https://www.econbiz.de/10010353293
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Systemic Risk and Heavy Tails : The Case of Banks’ Loan Portfolio
Agarwal, Sumit - 2011
We estimate a Pareto distribution for loan losses, as an alternative to the commonly used Vasicek distribution, using simulated data. A key assumption in the construction of Vasicek distribution is that firm-level risk is idiosyncratic. It also assumes that firm exposure to systemic risk is...
Persistent link: https://www.econbiz.de/10013128402
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Determinants of small business default
Agarwal, Sumit; Chomsisengphet, Souphala; Liu, Chunlin - In: The analytics of risk model validation, (pp. 1-12). 2008
Persistent link: https://www.econbiz.de/10003868664
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Reducing strategic default in a financial crisis
Agarwal, Sumit; Mikhed, Vyacheslav; Scholnick, Barry; … - 2021
Persistent link: https://www.econbiz.de/10012744669
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How Does Financial Literacy Affect Mortgage Default?
Agarwal, Sumit - 2017
This paper uses a dataset from one of the leading subprime lenders in America, containing detailed information on borrower and loan characteristics, finds that borrowers from the financial industry, who have higher financial literacy, are less likely to default. This effect cannot be explained...
Persistent link: https://www.econbiz.de/10012971816
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Reducing Strategic Default in a Financial Crisis
Agarwal, Sumit; Mikhed, Vyacheslav; Scholnick, Barry; … - 2021
changes to Canadian consumer insolvency regulations. Our novelty is that the incentives from increasing penalties for default …
Persistent link: https://www.econbiz.de/10013321871
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Collateral valuation and borrower financial constraints : evidence from the residential real estate market
Agarwal, Sumit; Ben-David, Itzhak; Yao, Wenxiong - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2220-2240
Persistent link: https://www.econbiz.de/10011372430