Developing a good prepayment model is a central task in the valuation of mortgages and mortgage-backed securities but conventional parametric models often have bad out-of-sample predictive ability. A likely explanation is the highly non-linear nature of the prepayment function. Non-parametric...

Developing a good prepayment model is a central task in the valuation of mortgages and mortgage-backed securities but conventional parametric models often have bad out-of-sample predictive ability. A likely explanation is the highly non-linear nature of the prepayment function. Non-parametric...

We examine the use of simultaneous close junior lien lending (“piggybacks”) over the course of the recent housing bubble and subsequent mortgage market collapse. Using both state-level and zip code-level data over the period 2001-2008, we find that the fraction of piggyback originations is...

Mortgage brokers have grown in importance in the home mortgage origination process in recent years, suggesting they provide a valuable service matching borrowers and lenders, although their involvement has also been linked to the recent surge in mortgage defaults and foreclosures. As in other...

We analyze Fannie Mae's experience with the Home Equity Conversion Mortgage product. From 1993-2010, Fannie Mae acquired 492,465 of these loans, representing 75% of the total market. During this period, prior to recent program changes, credit screening was not an element in the underwriting...

Securitization has been widely assigned blame for contributing to the recent mortgage market meltdown and ensuing financial crisis. In this paper, we employ the OCC Home Equity database to develop estimates of default and prepayment probabilities for home equity lines of credit originated during...