This paper examines the impact of refinance on mortgage default, based on an empirical investigation of Home Affordable Refinance Program. We study a unique dataset which includes both HARP loans and HARP-eligible loans that did not refinance. Using a range of methodologies it is shown that...

It is shown that the one-factor Hull-White model can be used in the modern derivative multiple-curve valuation framework. For vanilla instruments such as caps and European swaptions, closed-form pricing formulae are derived

The GDP tournament among local governments plays a crucial role in supporting China's growth miracle. Investment-driven economic growth has led to a surge in local government debt in the past decade. To understand the relationship between local government debt and regional competition in GDP...

Two- to four-family properties make up 19% of all rental housing but receive almost no attention. Using a unique dataset from Freddie Mac and Fannie Mae, we show that, for any given set of loan characteristics and compared with one-unit properties, two- to four-unit properties are more likely to...

In this article we analyze new loan-level data recently released by Freddie Mac on more than 17 million single-family mortgages to reveal a range of new and useful insights into the ultimate financial losses associated with a loan after it experiences a credit event. We conclude that mortgage...

While Veterans Administration (VA) mortgages and Federal Housing Administration (FHA) mortgages are often lumped together as “government mortgages”, the programs have significant differences, as do the borrowers who use them. In addition, delinquency rates on VA loans have consistently been...