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After the short temporary popularity of foreign currency denominated (FXD) loans, during the Great Financial and Economic Recession (2007- 2013), the burden of these loans has become unaffordable for a lot of borrowers in East Central Europe. We have designed a family of simple models to compare...
Persistent link: https://www.econbiz.de/10010481775
Equity stripping fraud often masquerades as a sale-leaseback contract. Homeowners anticipating a refinance to settle a foreclosure are victimized through a transfer of ownership and theft of equity. The doctrine of equitable mortgage is a legal theory used to challenge these fraudulent...
Persistent link: https://www.econbiz.de/10013121650
How do price commitments impact the amount of information firms acquire about potential customers? We examine this question in the context of a competitive market. Contracts are incomplete because the amount of information firms acquire about applicants during the screening process cannot be...
Persistent link: https://www.econbiz.de/10013038110
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...
Persistent link: https://www.econbiz.de/10011308463
This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...
Persistent link: https://www.econbiz.de/10013126080
In this paper, we adopt a partial differential equation (PDE) approach to calculate price and risk measures for mortgage backed securities (MBS). The interest rate path-dependency is handled by an augmented state variable with discrete updating. Compared with the Monte Carlo method, valuation...
Persistent link: https://www.econbiz.de/10013074894
A key feature of the 2007-2008 financial crisis is that for some classes of securities trade has ceased. And where trade does occur, it appears that market prices are well below what one might believe to be the intrinsic value for that class of security. This seems to be especially true for...
Persistent link: https://www.econbiz.de/10013038450
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers. Policies targeting the loan-to-value ratio are found to have a...
Persistent link: https://www.econbiz.de/10012956622
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...
Persistent link: https://www.econbiz.de/10012980138
Households are forward-looking when deciding whether to default on or refinance their mortgages. There are two types of default generated by two mechanisms: illiquidity-triggered default and strategic default. However, researchers can observe only whether households default but not whether the...
Persistent link: https://www.econbiz.de/10013002370