Rajan, Uday; Seru, Amit; Vig, Vikrant - In: Journal of Financial Economics 115 (2015) 2, pp. 237-260
Statistical default models, widely used to assess default risk, fail to account for a change in the relations between different variables resulting from an underlying change in agent behavior. We demonstrate this phenomenon using data on securitized subprime mortgages issued in the period...