We document the default rates of CMBS loans during the recent financial crisis. The 30 , 60 , and 90 day delinquency rates of conduit CMBS loans have risen sharply since late 2008 and have reached levels that are about 7 times of the 10-year average. Comparing to the previous crisis in the early...

We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time. Due to temporal shifts...

This paper studies a largely overlooked and important segment of the mortgage market in explaining the recent financial crisis — the condominium loan market, which experienced a 15-fold increase in origination and constituted 15% of the overall residential loan originations from 2001 to 2007....

We document changes in borrowers' sensitivity to negative equity and show heightened borrower default propensity as a fundamental driver of crisis period mortgage defaults. Estimates of a time-varying coefficient competing risk hazard model reveal a marked run-up in the default option beta from...

We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time. Due to temporal shifts...