Showing 1 - 10 of 34
We develop estimates of risk-based capital requirements for single-family mortgage loans held in portfolio by financial intermediaries. Our method relies on simulation of default and loss probability distributions via simulation of changes in economic variables with conditional default...
Persistent link: https://www.econbiz.de/10005394147
"We assess nonparametric kernel density regression as a technique for estimating mortgage loan prepayments - one of the key components in pricing highly volatile mortgage-backed securities and their derivatives. The highly non-linear and so-called """"irr ational"""" behavior of the prepayment...
Persistent link: https://www.econbiz.de/10010799559
We present a simple theoretical model of adverse selection when lenders allow reduced documentation. The model shows how reduced documentation attracts both riskier borrowers and larger size loans. We then empirically test implications of the model using stated income loans originated during the...
Persistent link: https://www.econbiz.de/10010939216
type="main" <p>Home equity lending grew rapidly from 2000 to 2008 with balances more than tripling. In this article, we examine the role this phenomenon may have played in increasing aggregate default risk during the mortgage crisis. We also document a relationship between growth in home equity...</p>
Persistent link: https://www.econbiz.de/10011032031
We combine loan data from distinct sources to compare and contrast multifamily mortgage lending in Canada and the U.S. After a general comparison of the multifamily housing markets in the two countries, we focus on loan pricing and non-price contract terms in the two environments. We find longer...
Persistent link: https://www.econbiz.de/10005092500
Mortgage brokers have grown in importance in the home mortgage origination process in recent years suggesting they provide a valuable service matching borrowers and lenders, although their involvement has also been linked to the recent surge in mortgage defaults and foreclosures. As in other...
Persistent link: https://www.econbiz.de/10005055388
We empirically examine the role of appraisal in the residential mortgage lending process--in particular, the incidence, consequences, and determinants of appraisal below contract purchase price. Using the Boston Federal Reserve Study data set, we find that, as expected, low appraised value...
Persistent link: https://www.econbiz.de/10005810380
We empirically examine the effect of appraisal quality on subsequent mortgage loan performance using data from the high volatility housing market of Alaska in the 1980s. We develop measures of appraisal quality by computing the residual between a hedonic estimate of house value using available...
Persistent link: https://www.econbiz.de/10005547342
Persistent link: https://www.econbiz.de/10005547373
Persistent link: https://www.econbiz.de/10005794604