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Spatial heterogeneity in mortgage terminantions by refinance, sale and default
Deng, Yongheng; Pavlov, Andrey D.; Yang, Lihong - In: Real estate economics : journal of the American Real … 33 (2005) 4, pp. 739-764
Persistent link: https://www.econbiz.de/10003381323
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The inevitability of marketwide underpricing of mortgage default risk
Pavlov, Andrey D.; Wachter, Susan M. - In: Real estate economics : journal of the American Real … 34 (2006) 4, pp. 479-496
Persistent link: https://www.econbiz.de/10003397501
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Price discovery limits in the credit default swap market in the financial crisis
Pavlov, Andrey D.; Schwartz, Eduardo; Wachter, Susan M. - In: The journal of real estate finance and economics 62 (2021) 2, pp. 165-186
Persistent link: https://www.econbiz.de/10012428390
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The Inevitability of Market-Wide Underpricing of Mortgage Default Risk
Pavlov, Andrey D.; Wachter, Susan M. - 2012
Lenders are frequently accused of mispricing the put option imbedded in non-recourse lending (Herring and Wachter, 1999 and 2003). Prior research (Pavlov and Wachter, 2004) shows one lender's incentives to underprice. Here we identify the conditions for a market-wide underpricing equilibrium. We...
Persistent link: https://www.econbiz.de/10014057396