A drawback of available portfolio credit risk models is that they fail to allow for default risk dependency across loans other than through common risk factors. Thereby, thesemodels ignore that close ties can exist between companies due to legal, financial and business relations. In this paper,...

Does the Church Tower Principle, i.e. geographical proximity between borrowing firm and lending bank, matter in credit risk management? If so, the bank might expose itself to a greater risk by lending to distant firms and should therefore respond by rationing them harder. In this paper we...

Using information on mortgages insured by the Federal Housing Administration, this article examines the disproportionate decline in collateral values associated with reverse mortgages. Properties securing reverse mortgages sell at a sharp discount in foreclosure relative to similar properties...

ZIP codes with high concentrations of originators who misreported mortgage information experienced a 75% larger relative increase in house prices from 2003 to 2006 and a 90% larger relative decrease from 2007 to 2012 compared to other ZIP codes. Several causality tests show that high fractions...

We make two contributions to the study of house price index and mortgage credit modeling accuracy. First, we assess the predictive power of house price indices calculated at different levels of geographic aggregation. Lower levels of aggregation offer superior fit when appreciation rates vary...

Using a novel data set, we study the soft information in subprime mortgages that is not verifiable by a third party, and its relationship with mortgage default. We find that lender effort to collect soft information is intertwined with borrower self-selection into subprime mortgages. We employ...

We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households' concerns regarding their risk of mortgage default. The MDRI predicts housing returns,...

Prior to an increase in the guaranty cap offered to mortgage lenders through the VA Home Loan program, I document nearly complete bunching of loan amounts at this cap. When the cap rises, I show that borrowers were more positively selected: they were more likely to repay their loans despite...

We use an empirical model of commercial mortgage spreads to examine how tenant diversification impacts credit spreads for mortgages on retail properties. We find that mortgages on properties with a highly diversified tenant base have spreads that are up to 7.1 basis points higher than spreads on...