Mortgage Default And Mortgage Valuation
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Mortgage Default And Mortgage Valuation
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Author : John Krainer
language : en
Publisher: DIANE Publishing
Release Date : 2010-10
Mortgage Default And Mortgage Valuation written by John Krainer and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10 with Law categories.
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.
Loss Given Default Of High Loan To Value Residential Mortgages
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Author : Min Qi
language : en
Publisher:
Release Date : 2007
Loss Given Default Of High Loan To Value Residential Mortgages written by Min Qi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Default (Finance) categories.
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.
Mortgage Valuation Models
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Author : Andrew Davidson
language : en
Publisher: Oxford University Press
Release Date : 2014-05-22
Mortgage Valuation Models written by Andrew Davidson and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-22 with Business & Economics categories.
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.
Mortgage Defaults
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Author : Juan Carlos Hatchondo
language : en
Publisher:
Release Date : 2015
Mortgage Defaults written by Juan Carlos Hatchondo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Investing In Mortgage Backed And Asset Backed Securities
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Author : Glenn M. Schultz
language : en
Publisher: John Wiley & Sons
Release Date : 2016-01-19
Investing In Mortgage Backed And Asset Backed Securities written by Glenn M. Schultz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-19 with Business & Economics categories.
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.
Rise In Mortgage Defaults
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Author :
language : en
Publisher: DIANE Publishing
Release Date :
Rise In Mortgage Defaults written by and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Mortgage Loan Securitization And Relative Loan Performance
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Author : John Krainer
language : en
Publisher: DIANE Publishing
Release Date : 2010-08
Mortgage Loan Securitization And Relative Loan Performance written by John Krainer and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08 with categories.
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.
Mortgage Backed Securities
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-31
Mortgage Backed Securities written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-31 with Business & Economics categories.
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.
Default Experience Of The Fha Graduated Payment Mortgage
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Author : Carroll Dale Broome
language : en
Publisher:
Release Date : 1989
Default Experience Of The Fha Graduated Payment Mortgage written by Carroll Dale Broome and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Federal home loan banks categories.
Local Housing Market Cycle And Loss Given Default
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Author : Yanan Zhang
language : en
Publisher: International Monetary Fund
Release Date : 2010-07-01
Local Housing Market Cycle And Loss Given Default written by Yanan Zhang and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-01 with Business & Economics categories.
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.