This paper presents an analysis of the distribution of home purchase mortgages insured by the Federal Housing Administration (FHA) in the primary mortgage market. Utilizing a sample of loan originations aggregated at the zip code level, the distribution of the market served by FHA and...

This article represents an extension of the expansive credit risk and credit migration literature, prominent in pricing risk of corporate bond and securities investment, to an analysis of the drift of consumer credit scores. A rich data set of residential mortgages is used in the development of...

House price volatility; lender and borrower perception of price trends, loan and property features; and the borrower's put option are integrated in a model of residential mortgage default. These dimensions of the default problem have, to our knowledge, not previously been considered altogether...

A national loan level data set, aggregated at the zip code is used to examine the elasticity of default relative to local demographic characteristics and state level legislation regulating foreclosure procedures and predatory lending. We also illustrate the merit of using a form of hierarchical...

House price volatility; lender and borrower perception of price trends, loan and property features; and the borrower's put option are integrated in a model of residential mortgage default. These dimensions of the default problem have, to our knowledge, not previously been considered altogether...

Although the 30-year fixed rate loan is the standard in the U.S. mortgage market the interest rate risk is borne by holder of the note. This risk, and myriad other motivations fostered the development of the subprime and Alt-A instruments that together have become the bane of the housing market....