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Loss given default of residential mortgages in a low LTV regime : role of foreclosure auction process and housing market cycles
Park, Yun W.; Bang, Doo Won - In: Journal of banking & finance 39 (2014), pp. 192-210
Persistent link: https://www.econbiz.de/10010340742
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Raising household leverage : evidence from co-financed mortgages
Colonnello, Stefano; Dal Borgo, Mariela - 2024
Persistent link: https://www.econbiz.de/10014534239
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Liquidity constraints, home equity and residential mortgage losses
Do, Hung Xuan; Rösch, Daniel; Scheule, Harald - In: The journal of real estate finance and economics 61 (2020) 2, pp. 208-246
Persistent link: https://www.econbiz.de/10012293163
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When banks venture beyond home turf : consequences for loan performance
Tanoue, Yuta; Yamashita, Satoshi - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011849964
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An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Cheng, Dan; Cirillo, Pasquale - In: Risks : open access journal 7 (2019) 3, pp. 76
We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...
Persistent link: https://www.econbiz.de/10012127587
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House price markups and mortgage defaults
Carrillo, Paul E.; Doerner, William M.; Larson, William - In: Journal of money, credit and banking : JMCB 55 (2023) 4, pp. 747-782
Persistent link: https://www.econbiz.de/10014306110
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Mortgage defaults
Hatchondo, Juan Carlos; Martinez, Leonardo; Sanchez, Juan M. - 2015
Persistent link: https://www.econbiz.de/10011449821
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Collateral risk in residential mortgage defaults
Yang, Tyler; Lin, Che-chun; Cho, Man - In: The journal of real estate finance and economics 42 (2011) 2, pp. 115-142
Persistent link: https://www.econbiz.de/10009303206
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An analysis of default risk in the Home Equity Conversion Mortgage (HECM) program
Moulton, Stephanie; Haurin, Donald R.; Shi, Wei - In: Journal of urban economics 90 (2015), pp. 17-34
Persistent link: https://www.econbiz.de/10011563448
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Collateral Risk in Residential Mortgage Defaults
Yang, Tyler T. - 2010
This paper presents a systematic framework for capturing the collateral-driven mortgage default risk. A forward … numerical simulation, we demonstrate that a geographically-diversified mortgage pool entails a substantially lower level of … systematic collateral driven mortgage default risk compared to a spatially-concentrated pool. However, the expected default risk …
Persistent link: https://www.econbiz.de/10013137657