This paper presents a systematic framework for capturing the collateral-driven mortgage default risk. A forward … numerical simulation, we demonstrate that a geographically-diversified mortgage pool entails a substantially lower level of … systematic collateral driven mortgage default risk compared to a spatially-concentrated pool. However, the expected default risk …

We investigate the spatial dependence between commercial and residential mortgage defaults. A new class of observation … large panels of mortgage loan records. The score dynamics in the models is driven by so-called generalized residuals, and …

The housing prices and the mortgage debt witnessed faster growth than GDP in the run-up of the Great Recession. I … document a mortgage market puzzle during the boom period: (1) the mortgage risk measured by the ex post delinquency increased …, but (2) the mortgage spread decreased. The default premium alone cannot explain the decreasing mortgage spread in the boom …

asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple … standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50% …