Author: Gene Amromin
Publisher: DIANE Publishing
Keywords: mortgages, reprint, �economic, perspectives�, subprime, prime, patterns, default, among, comparing
Number of Pages: 20
Published: 2010-01
ISBN-10: 1437919189
ISBN-13: 9781437919189

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: Edward J. Calabrese
Publisher: DIANE Publishing
Keywords: assessment, risk, model, default, hormesis
Number of Pages: 32
Published: 2008-10
ISBN-10: 1437904610
ISBN-13: 9781437904611

Reprint of an issue of żBelle (Biological Effects of Low Level Exposures) Newsletter.ż Contents: Intro.: Should Hormesis Be the Default Model in Risk Assessment?, by Edward Calabrese; How Much is Enough to Accept Hormesis as the Default?, by Michael Jaycock; A Critique of the Use of Hormesis in Risk Assessment, by Kirk Kitchin and J. Wanzer Drane; Examining the Risks and Benefits of Replacing Traditional Dose-Response with Hormesis, by John Pickrell and Frederick Oehme; Hormesis and Risk Assessment, by Karl Rozman; Hormesis: How It Could Affect the Risk Assessment Process, by Edward Calabres

Author: John Krainer
Publisher: DIANE Publishing
Keywords: mortgage, valuation, default
Number of Pages: 45
Published: 2010-10
ISBN-10: 143793384X
ISBN-13: 9781437933840

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 evi

Author: Allen C. Goodman
Publisher: DIANE Publishing
Keywords: policy, works, theory, default, housing
Number of Pages: 45
Published: 2010-10
ISBN-10: 1437935486
ISBN-13: 9781437935486

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 legislati

Author: John Krainer
Publisher: DIANE Publishing
Keywords: loan, performance, relative, securitization, mortgage
Number of Pages: 35
Published: 2010-08
ISBN-10: 1437931189
ISBN-13: 9781437931181

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 r

Author: Ceyhun Bora Durdu
Publisher: DIANE Publishing
Keywords: open, economies, small, risk, sovereign, default, news
Number of Pages: 24
Published: 2010-11
ISBN-10: 1437939147
ISBN-13: 9781437939149

This paper builds a model of sovereign debt in which default risk, interest rates, and debt depend not only on current fundamentals but also on news about future fundamentals. News shocks (NS) affect equilibrium outcomes because they contain info. about the future ability of the govżt. to repay its debt. First, in the model with NS not all defaults occur in bad times. Second, the NS help account for key differences between emerging markets and developed economies: as the precision of the news improves the model predicts lower variability of consumption, less counter-cyclical trade balance and

Author: Veronica Guerrieri
Publisher: DIANE Publishing
Keywords: price, volatility, asset, concerns, managers, career, fund
Number of Pages: 39
Published: 2011-01
ISBN-10: 1437941370
ISBN-13: 9781437941371

This is a print on demand edition of a hard to find publication. Proposes a general equilibrium model where investors hire fund managers (FM) to invest their capital either in a risky bond or in a riskless asset. There is a small fraction of informed FM with superior info. on the default probability. Looking at the past performance, investors update their beliefs on the info. of their FM and make hiring and firing decisions. This leads to career concerns which affect the investment decision of un-informed FM, generating a żreputational premiumż. When the default probability is high enough, u