Using 35,437 pairs of first and second mortgages matched from within a much larger set of subprime mortgages, this paper tracks and describes the tendency for either one of the mortgages to enter default, as well as the tendency for either the one or the other mortgage to ever return to being...

In this paper, we move closer to the interest of empirical research by providing the entire distribution of default's severity not just a summary total. The total price of a mortgage's default option already provides a rough summary statistics of the unconditional expected severity of default,...

The option model in this paper derives not only the value of an insurance policy, but also more disagregated information concerning those precise circumstances under which defaults occurs, and hence, insurance payouts need be made. In other words, this paper demonstrates the option pricing...

There are competing theories as to whether managers learn from stock prices. Dye and Sridhar (2002), for example, argue that capital markets can be better informed than the firm itself, while Roll (1986) argues managers may ignore market signals due to hubris. In this paper, we examine whether...

In this paper, we deduce the default and prepayment characteristics of mortgages by examining the actual behaviors of a large set of conforming fixed rate mortgages tracked over time. Employing reduced form pricing techniques, we are then able to fully value such mortgages, and so determine the...

This paper uses a structural credit risk model, providing an analytical formula to estimate default probabilities implicit in commercial mortgage backed security prices. Empirical studies on CMBS default have focused on the probability of default depending on loan characteristics at the...

Theories of the size of government focus on either the demand for government or the supply of tax revenues. Demand side theories such as those of Peltzman, Meltzer and Richard, Husted and Kenny, and Lott and Kenny are essentially political theories. They emphasize the role of voters or interest...

Using data on privately-securitized subprime ARMs (adjustable rate mortgages) originated between 1997 and 2008 and observed between 2000 and 2008, and so covering the start of the subprime crisis, this paper constructs a reduced-form credit risk model of default, and then uses contractual...