Purpose – This paper aims to investigate the determinants of default mortgage in China and the factors affecting the mortgage amount granted by Chinese banks. Design/methodology/approach – This paper employs the credit scoring model to investigate the determinants of default mortgage in...

This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...