The abnormally high mortgage default rates that became apparent in early 2007 were not foreseen in June 2005, when … mortgage production in the US reached its peak. Could the significant increase in mortgage defaults that triggered the … resultant subprime crisis, have been predicted? This paper develops a mortgage-level predictive model for mortgage default and …

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …

The recent global financial crisis, sparked by developments in the American mortgage market, provides a timely … opportunity for a thorough analysis of the standard model for financing home purchases. The United States residential mortgage … the novel insight that a non-recourse mortgage with no initial down payment resembles the case of corporate …

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 …