have higher mortgage delinquency and charge-off rates and significantly higher probabilities of failure during the last … stronger capital buffers. Our results suggest that there is scope for improved measures of mortgage loan risk that could be …

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 …

We investigate the spatial dependence between commercial and residential mortgage defaults. A new class of observation … large panels of mortgage loan records. The score dynamics in the models is driven by so-called generalized residuals, and …