This study uses the 2008 mortgage crisis to demonstrate how the relationship between vertical integration and performance crucially depends on corporate governance. Prior research has argued that the vertical integration of mortgage origination and securitization aligned divisional incentives...

We assess the role of FinTech firms in loans made through the Paycheck Protection Program (PPP). The PPP program, created by the U.S. government as a response to the COVID-19 pandemic, provides loans to small businesses so they can keep employees on their payroll. We argue that FinTech firms’...

We study the role of intermediaries (brokers) in the Canadian mortgage market. In this market, consumers can search for quotes in one of two ways: on their own or via a broker. We provide descriptive evidence that borrowers who transact through brokers are different from those who do not....

During the Great Recession, the collapse of consumption across the U.S. varied greatly but systematically with house-price declines. We find that financial distress among U.S. households amplified the sensitivity of consumption to house-price shocks. We uncover two essential facts: (1) the...

Small businesses, the majority of Spanish firms, rarely file for formal bankruptcy when dealing with financial distress. This is why business bankruptcy rates in Spain are among the lowest in the world, even during the current economic crisis. To explain this fact we present the following...

When collateral is safe, there are less opportunities for things to go wrong. We examine matching between collateral and creditors in the commercial real estate mortgage market by comparing loans in commercial mortgage backed securities (CMBS) conduits and bank portfolios. We model CMBS...

We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions, taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain...

In this paper, we analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loans. We prove that the average LGD's stress sensitivity depends on the portfolio's loan-to-value (LTV-)...

Over the past decade, as a result of rapid growth of the loan portfolio and the financial crisis, importance of credit risk analysis has increased worldwide. After the global financial crisis, more attention has been paid to loan granting process by various researchers and financial market...

This paper investigates the impact of recourse on the workout process of portfolio commercial mortgage loans. A generalized model of mortgage workout with stochastic property value appreciation is developed and closed form expressions are derived for the relations between recourse and credit...