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Testing to extreme : an application of reverse stress testing engineering on mortgages of commercial banks in China
Liu, Chang; Tang, Lin; Lin, Dongtao; Guo, Jiayi - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 187-192
Persistent link: https://www.econbiz.de/10014253171
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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The demand for long-term mortgage contracts and the role of collateral
Liu, Lu - 2023
Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have … fixation length tracks the life-cycle decline of credit risk in the mortgage market: the loan-to-value (LTV) ratio decreases … using shorter-term contracts. To quantify demand for long-term contracts, I develop a life-cycle model of optimal mortgage …
Persistent link: https://www.econbiz.de/10014309040
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Assessing the impact of hurricane frequency and intensity on mortgage delinquency
Rossi, Clifford V. - In: Journal of risk management in financial institutions 14 (2020/2021) 4, pp. 426-442
Persistent link: https://www.econbiz.de/10012818434
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Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards
Lin, Che-chun; Prather, Larry J.; Chu, Ting-heng; Tsay, … - In: International review of financial analysis 27 (2013), pp. 115-122
Persistent link: https://www.econbiz.de/10009736923
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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738
Persistent link: https://www.econbiz.de/10012293945
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …
Persistent link: https://www.econbiz.de/10015062908
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
Persistent link: https://www.econbiz.de/10015070472
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …
Persistent link: https://www.econbiz.de/10015061135
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Re-Default Risk of Modified Mortgages
Chen, Jian - 2014
During the recent housing recession and financial crisis, mortgage modification has been heavily promoted by government … Equity (HOPE), Home Affordability Modification Program (HAMP), and Home Affordability Refinance Program (HARP), were … re-default risk. We use loan-level data to trace the performance of loans with heavy modifications. We have three major …
Persistent link: https://www.econbiz.de/10013056105