Using non-agency securitization data consisting of mortgages originated between 1991 and 2007, we find that fraction of defaulted mortgages increases from 10.8% in the pre-crisis period (July 2007) to 19.6% in the post crisis period (July 2009). This paper then applies a split population hazard...

Using non-agency securitization data consisting of mortgages originated between 1991 and 2007, we find that fraction of defaulted mortgages increases from 10.8% in the pre-crisis period (July 2007) to 19.6% in the post crisis period (July 2009). This paper then applies a split population hazard...

This study releases assumptions on previous borrowers' mortgage choice under information asymmetric: exogenously known default risk and lenders' zero profit. Through maximizing borrowers' life-time utilities in housing and non-housing consumption, simulation results show that borrowers'...

This study proposes a lifetime utility maximization model, where borrowers choose optimal mortgage bundles including mortgage type, LTV and loan size to maximize their allocation of limited budgets between housing and non-housing consumptions. The model predicts that the mortgage bundles choice...