"Risk management is a trending topic. We have recently lived through the global pandemic, which sent equity markets into a tailspin. Despite its relevance, risk management remains a poorly understood afterthought, with portfolios designed and handed off to the risk management team without a...

I investigate household interest rate risk management by solving a life-cycle asset allocation model that includes mortgage and bond portfolio choice. I find that most investors prefer an adjustable-rate mortgage and thereby save on the bond risk premium that is contained in fixed-rate mortgage...

We study a unique data set of borrower-level credit information from TransUnion, one of the three major credit bureaus, which is linked to a database containing detailed information on the borrowers’ mortgages. We find that the updated credit score is an important predictor of mortgage default...