This paper presents evidence that non-bank-originated subprime mortgages have a higher probability of default than bank-originated subprime mortgages, but only for loans with prepayment penalties. Evidence also indicates that non-banks price prepayment penalties less favorably to borrowers than...

Using new household level data, we quantitatively assess the roles that (i) job loss, (ii) negative equity, and (iii) wealth (including unsecured debt, liquid, and illiquid assets) play in default decisions. In sharp contrast to prior studies that proxy for individual unemployment status using...

This paper empirically analyses the effect of unemployment on mortgage loan late payments using German household panel data. Regressions with individual fixed effects suggest that for each person who becomes unemployed, the probability of missing a mortgage payment increases by two percentage...

Using new household-level data, we quantitatively assess the roles that job loss, negative equity, and wealth (including unsecured debt, liquid assets, and illiquid assets) play in default decisions. In sharp contrast to prior studies that proxy for individual unemployment status using regional...

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected subprime loan rates, explaining a significant portion of the...

Automated valuation models (AVMs) are increasingly being used as a substitute for home appraisals in mortgage origination. This paper examines whether there are differences in the credit risk of mortgages originated using AVMs relative to traditional appraisals. This question is explored through...

This paper presents evidence that non-bank-originated sub-prime mortgages have a higher probability of default than bank-originated sub-prime mortgages, but only for loans with prepayment penalties. Evidence also indicates that non-banks price prepayment penalties less favorably to borrowers...