Mortgage Default And Mortgage Valuation

Author : John Krainer
Publisher : DIANE Publishing
Page : 45 pages
File Size : 52,9 Mb
Release : 2010-10
Category : Law
ISBN : 9781437933840

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Mortgage Default and Mortgage Valuation by John Krainer Pdf

The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.

Author : Andrew Davidson,Alexander Levin
Publisher : Oxford University Press
Page : 464 pages
File Size : 43,7 Mb
Release : 2014-05-22
Category : Business & Economics
ISBN : 9780199363681

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Mortgage Valuation Models by Andrew Davidson,Alexander Levin Pdf

Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.

Author : Min Qi
Publisher : Unknown
Page : 48 pages
File Size : 47,5 Mb
Release : 2007
Category : Default (Finance)
ISBN : UCSD:31822034594184

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Loss Given Default of High Loan-to-value Residential Mortgages by Min Qi Pdf

This paper studies residential mortgage loss given default using a large set of historical loan-level default and recovery data of high loan-to-value mortgages from several private mortgage insurance companies. We show that loss given default can largely be explained by various characteristics associated with the loan, the underlying property, and the default, foreclosure, and settlement process. We find that the current loan-to-value ratio is the single most important determinant. More importantly, mortgage loss severity in distressed housing markets is significantly higher than under normal housing market conditions. Our empirical results have important policy implications for risk-based capital.

Author : Juan Carlos Hatchondo
Publisher : Unknown
Page : 40 pages
File Size : 52,5 Mb
Release : 2015
Category : Electronic
ISBN : OCLC:1306474772

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Mortgage Defaults by Juan Carlos Hatchondo Pdf

We present a model in which households facing income and housing-price shocks use long-term mortgages to purchase houses. Interest rates on mortgages reflect the risk of default. The model accounts for observed patterns of housing consumption, mortgage borrowing, and defaults. We use the model as a laboratory to evaluate default-prevention policies. While recourse mortgages make the penalty for default harsher and thus may lower the default rate, they also lower equity and increase payments and thus may increase the default rate. Introducing loan-to-value (LTV) limits for new mortgages increases equity and thus lowers the default rate, with negligible negative effects on housing demand. The combination of recourse mortgages and LTV limits reduces the default rate while boosting housing demand. Recourse mortgages with LTV limits are also necessary to prevent large increases in the mortgage default rate after large declines in the aggregate price of housing.

Author : Anonim
Publisher : DIANE Publishing
Page : 37 pages
File Size : 49,5 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9781437985337

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Rise in Mortgage Defaults by Anonim Pdf

Author : John Krainer
Publisher : DIANE Publishing
Page : 34 pages
File Size : 53,8 Mb
Release : 2010-08
Category : Electronic
ISBN : 9781437931181

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Mortgage Loan Securitization and Relative Loan Performance by John Krainer Pdf

Compares the ex ante observable risk characteristics and the default rates of securitized mortgage loans and mortgage loans retained by the original lender. Privately securitized loans tend to be riskier and to default at a faster rate than loans securitized with the GSEs and lender-retained loans. The differences in default rates across investor types are of secondary importance for explaining mortgage defaults compared to more conventional predictors, such as original loan-to-value ratios and the path for house prices. Privately securitized home mortgages have conditionally higher expected returns than retained loans, suggesting the presence of risk factors that are unobservable but nonetheless at least partially acknowledged by the market. Illus.

Author : Peter Dale,Helen Jones
Publisher : FriesenPress
Page : 360 pages
File Size : 54,6 Mb
Release : 2015-03-23
Category : Business & Economics
ISBN : 9781460245194

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Mortgage Smarts by Peter Dale,Helen Jones Pdf

Mortgage Smarts is a thorough and thoughtful guide to mortgages and house buying across Canada. Each province or territory has different rules and the authors explain the requirements for each, laid out in tables for ease of use. The authors candidly say: “We provide usable information on issues which most of you don‘t research when you are thinking about applying for a mortgage.” Mortgage Smarts is organized to provide information in the order that a house buyer would need it, from a history of mortgages through the process of buying a house (application and closing process), the sale and end of the mortgage, and then covering cases that are not the norm. The book contains useful checklists and warning notes, references and definitions. The authors suggest that this useful book can be dipped into at any part of the mortgage process; it doesn’t need to be read from page one to the end. The extensive table of contents and index will guide you to what you need. For the reader’s convenience, all government and official internet links and all the checklists appear in the appropriate chapters and then they are grouped together in separate appendixes. Numerous case studies describe the omissions and pitfalls that face a homebuyer who is blinded by enthusiasm or given “good advice” by friends and relatives. Once you have digested and applied the information in Mortgage Smarts your search for a home should not have any unpleasant financial surprises, but a happy ending.

Author : Juan Carlos Hatchondo,Mr.Leonardo Martinez,Mr.Juan M. Sanchez
Publisher : International Monetary Fund
Page : 33 pages
File Size : 48,5 Mb
Release : 2012-01-01
Category : Business & Economics
ISBN : 9781463954772

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Mortgage Defaults by Juan Carlos Hatchondo,Mr.Leonardo Martinez,Mr.Juan M. Sanchez Pdf

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents' ability to self-insure against income shocks are similar to those of a SIM model without housing but housing increases the values of these coefficients for younger agents. The response of consumption to house price shocks is minimal. The introduction of minimum down payments or income garnishment benefits a majority of the population.

Author : Gene Amromin
Publisher : DIANE Publishing
Page : 37 pages
File Size : 47,8 Mb
Release : 2010-01
Category : Electronic
ISBN : 9781437919189

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Comparing Patterns of Default Among Prime and Subprime Mortgages by Gene Amromin Pdf

This article compares default patterns among prime and subprime mortgages, analyzes the factors correlated with default, and examines how forecasts of defaults are affected by alternative assumptions about trends in home prices. The authors find that extremely pessimistic forecasts of home price appreciation could have generated predictions of subprime defaults that were closer to the actual default experience for loans originated in 2006 and 2007. However, for prime loans one would have also had to anticipate that defaults would become much more sensitive to home prices. Tables and graphs.

Author : Carroll Dale Broome
Publisher : Unknown
Page : 36 pages
File Size : 43,6 Mb
Release : 1989
Category : Federal home loan banks
ISBN : IND:30000106450822

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Default Experience of the FHA Graduated-payment Mortgage by Carroll Dale Broome Pdf

Author : Frank J. Fabozzi,Anand K. Bhattacharya,William S. Berliner
Publisher : John Wiley & Sons
Page : 358 pages
File Size : 47,8 Mb
Release : 2011-08-31
Category : Business & Economics
ISBN : 9781118149294

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Mortgage-Backed Securities by Frank J. Fabozzi,Anand K. Bhattacharya,William S. Berliner Pdf

An up-to-date look at the latest innovations in mortgage-backed securities Since the last edition of Mortgage-Backed Securities was published over three years ago, much has changed in the structured credit market. Frank Fabozzi, Anand Bhattacharya, and William Berliner all have many years of experience working in the fixed-income securitization markets, and have witnessed many cycles of change in the mortgage and MBS sectors. And now, with the Second Edition of Mortgage-Backed Securities, they share their knowledge on many of the products and structuring innovations that have taken place since the financial crisis and fiscal reform. Written in a straightforward and accessible style, and containing numerous illustrations, this timely guide skillfully addresses the investment characteristics, creation, and analysis of mortgage-backed securities. Each chapter contains cutting-edge concepts that you'll need to understand in order to thrive within this arena. Discusses the dynamic interaction between the mortgage industry, home prices, and credit performance Addresses revised valuation techniques in which all non-agency MBS must be treated as credit pieces Examines the shift in this marketplace since the crisis and the impact on industry and investors Filled with in-depth insights and expert advice, Mortgage-Backed Securities, Second Edition offers you a realistic assessment of this field and outlines the products, structures, and analytical techniques you need to know about in this evolving arena.

Author : Yanan Zhang,Lu Ji,Fei Liu
Publisher : International Monetary Fund
Page : 31 pages
File Size : 52,9 Mb
Release : 2010-07-01
Category : Business & Economics
ISBN : 9781455201785

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Local Housing Market Cycle and Loss Given Default by Yanan Zhang,Lu Ji,Fei Liu Pdf

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 which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on a large loan-level sub-prime residential mortgage loss dataset from 1998 to 2009. Results show that house price history has a long memory in explaining LGD. Its explanatory power far exceeds the original LTV and other loan characteristics. This paper offers a countercyclical view of LGD risk. The model can be combined with a default probability model to serve as a regulatory prudential tool. Such a tool provides a solution to the inherent procyclical bias in BASEL II capital requirements, and can contribute to the safety and soundness of banking institutions.

Author : Anonim
Publisher : Unknown
Page : 9 pages
File Size : 42,5 Mb
Release : 1993
Category : Dwellings
ISBN : 0646155326

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Mortgage Valuation Practice Standard by Anonim Pdf

Author : Glenn M. Schultz
Publisher : John Wiley & Sons
Page : 532 pages
File Size : 47,5 Mb
Release : 2016-01-19
Category : Business & Economics
ISBN : 9781119221500

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Investing in Mortgage-Backed and Asset-Backed Securities by Glenn M. Schultz Pdf

A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.

Author : Robert Otis Weagley
Publisher : Unknown
Page : 416 pages
File Size : 49,6 Mb
Release : 1985
Category : Default (Finance)
ISBN : CORNELL:31924001129018

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Mortgage Default in a Variable Rate Mortgage Market by Robert Otis Weagley Pdf