Portfolios of mortgage loans played an important role in the Great Recession and continue to compose a material part of bank assets. This chapter investigates how cross-sectional dependence in the underlying properties flows through to the loan returns, and thus, the risk of the portfolio. At...

Modest differences in the interest rate at home purchase can have long-lasting effects on mortgagors. We use within-year variation in average interest rates at loan origination to instrument for contracted mortgage rates. For homeowners with negative equity, a 50bp increase in the national rate...

In this paper I examine how servicer characteristics affect foreclosure rates of delinquent securitized mortgages. Using a sample of mortgages originated by IndyMac Bank and Countrywide Home Loan Servicing that underwent a change in servicer during the financial crisis period, I first show using...