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An improved fixed-rate mortgage valuation methodology with interacting prepayment and default options
Sharp, Nicholas J.; Newton, David P.; Duck, Peter W. - In: The journal of real estate finance and economics 36 (2008) 3, pp. 307-342
Persistent link: https://www.econbiz.de/10003733641
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Robbing the bank : non-recourse lending and asset prices
Pavlov, Andrey D.; Wachter, Susan M. - In: The journal of real estate finance and economics 28 (2004) 2/3, pp. 147-160
Persistent link: https://www.econbiz.de/10001954697
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Housing price dynamics and the valuation of mortgage default options
Kuo, Chiong-long - In: Journal of housing economics 5 (1996) 1, pp. 18-40
Persistent link: https://www.econbiz.de/10001201922
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A life cycle model with housing tenure, constrained mortgage finance and a risky asset under uncertainty
He, Zhechun; Simmons, Peter J. - 2018
Persistent link: https://www.econbiz.de/10011941354
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Can banks circumvent minimum capital requirements? : the case of mortgage portfolios under Basel II
Henderson, Christopher; Jagtiani, Julapa - 2010
Persistent link: https://www.econbiz.de/10003969756
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Mortgage Defaults and Prudential Regulations in a Standard Incomplete Markets Model
Hatchondo, Juan Carlos - 2014
A model of mortgage defaults is built into the standard incomplete markets model. Households face income and house … the risk of default. The model accounts for the observed patterns of housing consumption, mortgage borrowing, and defaults …. Default-prevention policies are evaluated. The mortgage default rate, housing demand, households' ability to self-insure, and …
Persistent link: https://www.econbiz.de/10013067493
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Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
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A zero-adjusted gamma model for mortgage loan loss given default
Tong, Edward N. C.; Mues, Christophe; Thomas, Lyn C. - In: International journal of forecasting 29 (2013) 4, pp. 548-562
Persistent link: https://www.econbiz.de/10010212473
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages
Cheng, Dan; Cirillo, Pasquale - In: Risks : open access journal 7 (2019) 3, pp. 76
We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process. The model combines the power of Bayesian nonparametrics and statistical learning, allowing for...
Persistent link: https://www.econbiz.de/10012127587