difference in ex-ante predictable default risk for limited liability loans …In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on … liability plays a key role in agents' strategies. We then use Fannie Mae loan performance data to test the predictions of the …

the difference in ex-ante predictable default risk for limited liability loans …In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on … liability plays a key role in agents' strategies. We then use Fannie Mae loan performance data to test the predictions of the …

the firm among the creditors and the firm itself. Compared to standard bankruptcy games as studied in the game theory … literature, we introduce the firm as an explicit player and define a new class of transferable utility games called liability … games. Liability games are superadditive, constant sum, partially convex, and partially concave. The core of a liability …