is affected by a mortgage pricing convention that underestimates co-borrowers' actual creditworthiness. Specifically, we … variation across time in mortgage rates to confirm that the difference in prepayment incidence exists only during a period of … declining mortgage rates. At an aggregate level, we find that geographic areas with higher concentration of co-borrowers are …

appropriate for UK and US mortgages. This model also forecasts mortgage default rates accurately and parsimoniously. The model … generates value-at-risk estimates for future mortgage default rates, which can be used to inform stress-testing and …

This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years …. Using data from US prime mortgage loans from 2000 to 2016, we find that common borrower, loan contract and external features … alternatives. This higher precision results in more accurate economic capital, IFRS 9/CECL loan loss provisioning and mortgage …

failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these … contexts. In federal securities regulation, the EMH has offered a theoretical construct to accompany the general belief in the …