An estimated 12.6% of primary mortgage loans were simultaneously originated with a second loan from 2004 until 2008, although relatively little is known about how the presence of such subordinate loans affects the default decisions of borrowers. We use a novel data series of loan servicing...

Because of impersonal securitization in the secondary market, the ultimate investors in a mortgage have only a limited amount of information about the borrower's characteristics. This creates an asymmetric information problem because of hidden knowledge on the part of the primary lenders, who...

Because of impersonal securitization in the secondary market, the ultimate investors in a mortgage have only a limited amount of information about the borrower's characteristics. This creates an asymmetric information problem because of hidden knowledge on the part of the primary lenders, who...

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...