bubble and subsequent mortgage market collapse. Using both state-level and zip code-level data over the period 2001-2008, we …

If mortgage borrowers default strategically, their future house price expectations should affect their present mortgage …

which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on …This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that … the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage …

This paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD …) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans … with zero-LGD as cure loans and those with non-zero LGD as non-cure loans. We find robust evidence that the borrower …