borrowers' default rates on mortgages and nonmortgage debts by about 40 percent and 25 percent, respectively. Refinancing also …We use quasi-random access to the Home Affordable Refinance Program (HARP) to identify the causal effect of refinancing … a mortgage on borrower balance sheet outcomes. We find that on average, refinancing into a lower-rate mortgage reduced …

One of the biggest risks arising from financial operations is the risk of counterparty default, commonly known as a … means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial …% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26% to … 36% more likely to be renegotiated than comparable securitized mortgages (4.2 to 5.7% in absolute terms). Also …

point decline in mortgage interest rate is associated with a nearly 4 percentage point decline in default probability. This …The meltdown in residential real-estate prices that commenced in 2006 resulted in unprecedented mortgage delinquency … study these methods - liquidation, repayment plans, loan modification, and refinancing - and analyze their effectiveness. We …

is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss … given default parameter. This simplification leads to a surprising phenomenon when the resulting regulatory capital depends … on the definition of default that plays the role of a frontier between the unexpected default rate estimate and the LGD …

evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term … movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … the dynamic and cyclical behaviour of default probabilities. Second, estimating default correlations over long horizons …

to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method … previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In …