This paper describes a novel methodology of measuring risky and conservative mortgage credit using household survey … output, a feature linked to the lower relevance of homeownership which implies that mortgage credit plays a less prominent …

We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple … current mortgage payments over the risk of possible hikes in future mortgage payments. We also provide evidence that banks do … influence the contracted mortgage rate fixation periods, trading off their own exposure to interest rate risk against the …

In this paper we examine the sensitivity of mortgage arrears for Irish households to changes in mortgage interest rates … information on current income and current mortgage repayments to link arrears to the level of, as well as shocks in, households … and those on tracker mortgage rate loans are most at risk following rate rises. This has important consequences for the …

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 …

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the … period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage … underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

We study the exposure of mortgage borrowers in Switzerland to interest rate, income and house price risks and examine … analysis is based on a unique data set of household mortgage applications from September 2012 until January 2014. Our … assessment of risk exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage …

subprime mortgage expansion. We combine loan-level data on the performance of non-prime securitized mortgages with individual … disparate treatment from race and ethnicity on rate-setting behavior across the most popular subprime mortgage products. In …

We examine mortgage pricing before and after Switzerland was the first country to activate the Counter-Cyclical Capital … Buffer of Basel III. Observing multiple mortgage offers per request, we obtain three core findings. First, capitalconstrained … and mortgage-specialized banks raise their rates relatively more. Second, risk-weighting schemes supposed to discriminate …