Modelling Default Transitions in the UK Mortgage Market PDF Download
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Author: Fergal McCann
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
Author: Fergal McCann
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
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Book Description
Author: Shuyao Yang
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 35
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Book Description
The unexpected increase in loan default on the mortgage market is widely considered to be one of the main cause behind the economic crisis. To provide some insight on loan delinquency and default, I analyze the mortgage performance data from Fannie Mae website and investigate how economic factors and individual loan and borrower information affect the events of default and prepaid. Various delinquency status including default and prepaid are treated as discrete states of a Markov chain. One-step transition probabilities are estimated via multinomial logistic models. We find that in general current loan-to-value ratio, credit score, unemployment rate, and interest rate significantly affect the transition probabilities to different delinquency states, which lead to further default or prepaid events.
Author: Kristopher S. Gerardi
Publisher: DIANE Publishing
ISBN: 1437929850
Category : Business & Economics
Languages : en
Pages : 75
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Book Description
This is a print on demand edition of a hard to find publication. Explores the question of whether market participants could have or should have anticipated the large increase in foreclosures that occurred in 2007 and 2008. Most of these foreclosures stemmed from loans originated in 2005 and 2006, leading many to suspect that lenders originated a large volume of extremely risky loans during this period. While loans originated in this period did carry extra risk factors, underwriting standards alone cannot explain the dramatic rise in foreclosures. Market participants should have understood that a significant fall in prices would cause a large increase in foreclosures. Analysts understood that a fall in prices would have disastrous consequences for the market but assigned a low probability to such an outcome. Charts and tables.
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages :
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Author: OECD
Publisher: OECD Publishing
ISBN: 9264010173
Category :
Languages : en
Pages : 316
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Book Description
A comprehensive issue-by-issue and country-by-country study of housing markets and housing finance markets in Central and Eastern Europe.
Author: Matteo Benetton
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
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Book Description
I develop a structural model of mortgage demand and lender competition to study how leverage regulation affects the equilibrium in the UK mortgage market. Using variation in risk-weighted capital requirements across lenders and across mortgages with differential loan-to-values, I show that a one-percentage-point increase in risk-weighted capital requirements increases the interest rate by 10 percent for the average mortgage product. The estimated model implies that heterogeneous leverage regulation increases the concentration of mortgage originations, as large lenders exploit a regulatory cost advantage. Counterfactual analyses uncover potential unintended consequences of policies regulating household leverage, since banning the highest loan-to-value mortgages may reduce large lenders' equity buffers, thereby affecting risk.
Author: Jaroslav Pavlicek
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The internet has become the primary source of information for most of the population in modern economies, and as such, it provides an enormous amount of readily available data. Among these are the data on the internet search queries, which have been shown to improve forecasting models for various economic and financial series. In the aftermath of the global financial crisis, modeling and forecasting mortgage demand and subsequent approvals have become a central issue in the banking sector as well as for governments and regulators. Here, we provide new insights into the dynamics of the UK mortgage market, specifically the demand for mortgages measured by new mortgage approvals, and whether or how models of this market can be improved by incorporating the online searches of potential mortgage applicants. Because online searches are expected to be one of the last steps before a customer's actual application for a large share of the population, intuitive utility is an appealing approach. We compare two baseline models - an autoregressive model and a structural model with relevant macroeconomic variables - with their extensions utilizing online searches on Google. We find that the extended models better explain the number of new mortgage approvals and markedly improve their nowcasting and forecasting performance.
Author: Gene Amromin
Publisher: DIANE Publishing
ISBN: 1437987850
Category : Business & Economics
Languages : en
Pages : 57
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Book Description
CM became a popular borrowing instrument during the bullish housing market of the early 2000s but vanished rapidly during the subsequent downturn. These non-traditional loans (interest only, negative amortization, and teaser mortgages) enable households to postpone loan repayment compared to traditional mortgages and hence relax borrowing constraints. But, they increase household leverage and heighten dependence on mortgage refinancing. CM were chosen by prime borrowers with high income levels seeking to purchase expensive houses relative to their incomes. Borrowers with CM experience substantially higher ex post default rates than borrowers with traditional mortgages with similar characteristics. Illus. This is a print on demand report.
Author: Mthuli Ncube
Publisher:
ISBN:
Category : Applied mathematics
Languages : en
Pages : 17
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Book Description
Author: Beer, Andrew
Publisher: Policy Press
ISBN: 184742936X
Category : Political Science
Languages : en
Pages : 209
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Book Description
The housing we live in shapes individual access to jobs, health, well being and communities. There are also substantial differences between generations regarding the type of housing they aspire to live in, their attitudes to housing costs, the nature of their households and their attitudes to different tenures. This important contribution to the literature draws upon research from the UK, Australia and the USA to show how lifetime attitudes to housing have changed, with new population dynamics driving the market and a greater emphasis on consumption. It also considers how the global financial crisis has differentially affected housing markets across the globe, with variable impacts on the long term housing transitions of different populations.
