, develops logit model to examine mortgage loan borrowers' characteristics that determine their default probability. Similar data …

have higher mortgage delinquency and charge-off rates and significantly higher probabilities of failure during the last … stronger capital buffers. Our results suggest that there is scope for improved measures of mortgage loan risk that could be …

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the … mortgage loss rates. In addition, we show potential applications of the model for different macroprudential instruments: stress …

A model of mortgage defaults is built into the standard incomplete markets model. Households face income and house … the risk of default. The model accounts for the observed patterns of housing consumption, mortgage borrowing, and defaults …. Default-prevention policies are evaluated. The mortgage default rate, housing demand, households' ability to self-insure, and …