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Optimal risk-sharing in mortgage contracts : the effects of potential prepayment and default
Brueckner, Jan K.; Lee, Kangoh - 2014
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 …
Persistent link: https://www.econbiz.de/10010412302
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Sample selection bias in mortgage market credit risk modeling
Lozinskaia, Agatha - In: Financial econometrics and empirical market microstructure, (pp. 249-262). 2015
Persistent link: https://www.econbiz.de/10011326622
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Optimal loan-to-value ratio and the efficiency gains of default
Lin, Li - In: Annals of finance 10 (2014) 1, pp. 47-69
Persistent link: https://www.econbiz.de/10010243964
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Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
Ardia, David; Guerrouaz, Anas; Rey, Jeanne - In: Assurances et gestion des risques : revue trimestrielle 83 (2016) 3/4, pp. 115-133
Persistent link: https://www.econbiz.de/10011637834
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Indebted sellers, liquidity and mortgage standards
Head, Allen Charles; Sun, Hongfei; Zhou, Chenggang - In: European economic review : EER 151 (2023), pp. 1-31
Persistent link: https://www.econbiz.de/10014235080
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A volatility-based single parameter Loss Given Default model
Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011306351
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Debt deflation effects of monetary policy
Lin, Li; Tsomocos, Dimitrios P.; Vardoulakis, Alexandros P. - In: Journal of financial stability 21 (2015), pp. 81-94
Persistent link: https://www.econbiz.de/10011574426
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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Debt, recovery rates and the Greek dilemma
Goodhart, Charles A. E.; Peiris, M. U.; Tsomocos, … - In: Journal of financial stability 36 (2018), pp. 265-278
Persistent link: https://www.econbiz.de/10012156912
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Credit, bankruptcy, and aggregate fluctuations
Nakajima, Makoto; Ríos-Rull, José-Víctor - 2019
household earnings growth accounts for these properties, albeit not for the large volatility of credit. We find that tilting …
Persistent link: https://www.econbiz.de/10012197797