' population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling …We propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers …

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers … of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research …'s (1986a) model, using it to characterize optimal contracts in the absence of mortgage termination, and then exploring how …