strategically as their home value falls below the mortgage value (exercise the put option to default on their first mortgage). While … current but stand behind a seriously delinquent first mortgage, are subject to a high risk of default. On the other hand … that the various mortgage loss mitigation programs also play a role in providing incentives for homeowners to default on …

Home appraisals are produced for millions of residential mortgage transactions each year, but appraised values are … institutional framework that governs mortgage lending lead to information loss in appraisals (that is, appraisals set equal to the … incidence of mortgage default at loan-to-value boundaries (notches) above which mortgage insurance rates increase. Appraisals …

This study releases assumptions on previous borrowers' mortgage choice under information asymmetric: exogenously known …-housing consumption, simulation results show that borrowers' observable choices basket of mortgage type, preferred LTV, and house size … consumption preference. Further empirical tests, based on individual mortgages from non-agency residential mortgage backed …

partially blamed for the initial inaccurate ratings. Given the increasingly reliant on mortgage related assets in CDO products …, a way to test the underestimation default correlation theory is to estimate how mortgage loan defaults have co …-moved across states over time. In this paper, we use a dynamic factor model to estimate the co-movement of mortgage loan default …

bubble and subsequent mortgage market collapse. Using both state-level and zip code-level data over the period 2001-2008, we …