Modeling Residential Mortgage Termination and Severity Using Loan Level Data PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Modeling Residential Mortgage Termination and Severity Using Loan Level Data PDF full book. Access full book title Modeling Residential Mortgage Termination and Severity Using Loan Level Data by Ralph Guy DeFranco. Download full books in PDF and EPUB format.
Author: Ralph Guy DeFranco
Publisher:
ISBN:
Category : Default (Finance)
Languages : en
Pages : 254
Get Book Here
Book Description
Author: Ralph Guy DeFranco
Publisher:
ISBN:
Category : Default (Finance)
Languages : en
Pages : 254
Get Book Here
Book Description
Author: Laurie S. Goodman
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
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 insurance significantly lowers loss severities. We show that actual loss severities are higher than the preset severity schedule for loans with a loan-to-value (LTV) ratio of 60-80, relatively accurate for higher-LTV loans. We also find that small loans have higher severity than larger loans, that real-estate-owned (REO) sales have higher severity than short sales, and that there is no stable relationship between the state of origination and severity. Finally, we review the components of loss -- liquidation value, direct expenses, and lost interest -- and find that direct expenses and loss interest contribute significantly to the ultimate loss.
Author: Carolina Márquez Guerrero
Publisher:
ISBN:
Category :
Languages : en
Pages : 378
Get Book Here
Book Description
Author: Min Qi
Publisher:
ISBN:
Category : Default (Finance)
Languages : en
Pages : 48
Get Book Here
Book Description
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: Laurie S. Goodman
Publisher: John Wiley & Sons
ISBN: 0470392746
Category : Business & Economics
Languages : en
Pages : 352
Get Book Here
Book Description
Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Author: Jürg Burkhard
Publisher:
ISBN:
Category :
Languages : en
Pages : 71
Get Book Here
Book Description
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We focus the analysis on portfolios of residential mortgages and model the probability distribution of the number of defaults using a non-parametric approach, where the intensity processes associated to the time-to-default is linked to a set of predictors through general smooth functions: A generalized additive model is used to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large mortgage servicing data set and compare the resulting loss distributions to a well-known benchmark, i.e. the loss distribution from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large mortgage portfolio are shown to be greatly sensitive to the prevailing socio-economic scenario. We present evidence that aggregated res- idential mortgage default risk is not only driven by the rating but also by variables such as the loan-to-value ratio, contract age, regional unemployment as well as contract rate changes and the contract type. Hence, it is crucial to integrate the significant factors into any reasonable bank risk, portfolio or capital management framework or approaches for structuring and pricing of related products. We illustrate the severe shortcomings of the unconditional ap- proaches. With our results we are able to contribute significantly to the ongoing international discussion about the drivers of residential mortgage risk as well as to suggestions for improved risk management approaches. Finally, our findings are highly relevant for the implementation of the Basel II accord. Keywords: reduced-form, structural approach, default risk, default intensity, mortgages, generalized additive model, CreditRisk+
Author: Allen C. Goodman
Publisher: DIANE Publishing
ISBN: 1437935486
Category : Law
Languages : en
Pages : 45
Get Book Here
Book Description
Using a national loan level data set, the authors examine loan default as explained by local demographic characteristics and state level legislation that regulates foreclosure procedures and predatory lending through a hierarchical linear model. They observe significant variation in the default rate across states, with lower default levels in states with higher temporal and financial costs to lenders when controlling for loan and location conditions. The results are notable given that many of the observed loans were sold to investors in national and international markets. State level legislative influences provide a foundation for discussion of national level policy that further regulates predatory lending and financial institution foreclosure activities. Charts and tables.
Author: Frank J. Fabozzi
Publisher: Oxford University Press
ISBN: 0191088773
Category : Business & Economics
Languages : en
Pages : 831
Get Book Here
Book Description
This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.
Author: Kristopher Gerardi
Publisher: DIANE Publishing
ISBN: 1437929842
Category : Business & Economics
Languages : en
Pages : 47
Get Book Here
Book Description
Estimates a model of foreclosure using a data set that includes every residential mortgage, purchase-and-sale, and foreclosure transaction in Mass. from 1989 to 2008. Addresses the identification issues related to the estimation of the effects of house prices on residential foreclosures. Studies the dramatic increase in foreclosures that occurred in Mass. between 2005 and 2008 and concludes that the foreclosure crisis was primarily driven by the severe decline in housing prices that began in the latter part of 2005, not by a relaxation of underwriting standards. Relaxed underwriting standards severely aggravated the crisis by creating a class of homeowners who were particularly vulnerable to the decline in prices. Charts and tables.
Author: Zifeng Lin
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 254
Get Book Here
Book Description
As the new Basel Capital Accord (Basel II) was introduced since 2006, banks and other financial institutions are encouraged to calculate their own capital requirements for credit risk under the advanced rating based (A-IRB) approach. In order to be compliant with this approach, financial institutions need to estimate the Loss Given Default (LGD), the credit loss incurred as a fraction of the exposure if the borrower defaults. This paper studies LGD using a large set of historical facility-level default and recovery data of residential mortgages from a major bank in New Zealand. We find that the LGD is highly sensitive to the loan-to-value ratio (LVR), however, the empirical LGDs of each LVR band are significantly lower than the prescribed ones set by the Reserve Bank of New Zealand (RBNZ). The main gap is the regulator's model did not take into account of the fact that a portion of defaulted accounts would go back in order, while the empirical model has incorporated this fact. We also quantify the potential impact of mortgage loss severity in distressed housing markets, comparing to normal housing market conditions. We also find that the level of the change of the property value significantly affect LGD. These findings have important policy implications for several key issues in Basel II implementation.
