This paper analyzes the impact of the financial crisis on the probability of default (PD) for a large Dutch mortgage portfolio covering a period from 2001 until 2012. A statistical model has been developed, which determines the likelihood that a healthy mortgage customer defaults within 12...

In mortgage default modeling, many of the key variables, such as loan age, FICO score, Debt-to-Income Ratio (DTI), and Loan-to-House-Value Ratio (LTV), have nonlinear relationship with the target default/delinquency rates. To catch the nonlinearity in the response function, experienced modelers...

The exact cause of the massive defaults and foreclosures in the U.S. subprime mortgage market is still unclear. This paper investigates whether a particular aspect of borrowers' financial literacy - their numerical ability - may have played a role. We measure several aspects of financial...

This paper examines the contrasting influence of portfolio lending and securitization in the resolution of distressed commercial real estate. The empirical analysis utilizes a large and unique data set of distressed commercial mortgages. The data set is constructed based on the recent financial...

A feature of last decade’s mortgage crisis was that the credit risk of borrowers was not accurately priced into their mortgages. For example, the increased risk of delinquency was not associated with a higher interest rate. I confirm this belief by using a measure of earnings risk, a major...

The exact cause of the massive defaults and foreclosures in the U.S. subprime mortgage market is still unclear. This paper investigates whether a particular aspect of borrowers' financial literacy - their numerical ability - may have played a role. We measure several aspects of financial...

This paper analyses the impact of lending standards for residential real estate (RRE) loans on default rates, using a novel loan-level dataset from the European DataWarehouse (EDW) that covers eight euro area countries. To the best of the authors' knowledge, this paper is the first to use, for...

Does securitization distort the foreclosure decisions of non-performing mortgages? In a model of mortgage-backed securitization with an endogenous foreclosure policy, we find that the securitizing bank adopts a tougher foreclosure policy than the first-best, despite resulting in higher loan...