We develop estimates of risk-based capital requirements for single-family mortgage loans held in portfolio by financial intermediaries. Our method relies on simulation of default and loss probability distributions via simulation of changes in economic variables with conditional default...

We develop a unique paired loan dataset containing information on multiple conventional conforming mortgage loans of households to examine home equity extraction decisions over the period 2000-2006. The main question addressed is how much households borrow when refinancing their current mortgage...

We assess nonparametric kernel density regression as a technique for estimating mortgage loan prepayments - one of the key components in pricing highly volatile mortgage-backed securities and their derivatives. The highly non-linear and so-called quot;irrationalquot; behavior of the prepayment...

We assess nonparametric kernel density regression as a technique for estimating mortgage loan prepayments - one of the key components in pricing highly volatile mortgage-backed securities and their derivatives. The highly non-linear and so-called quot;irrationalquot; behavior of the prepayment...

We focus on an agency problem encountered by mortgage lenders and investors in mortgage-backed securities when the underlying collateral is originated by third parties. Third parties, such as mortgage brokers, have economic incentives to encourage borrowers to refinance and, accordingly, their...

Home equity lending grew rapidly from 2000 to 2008 with balances more than tripling. In this paper, we examine the role this phenomenon may have played in increasing aggregate default risk during the mortgage crisis. We also document a relationship between growth in home equity lending and high...

The recent financial crisis was triggered by large and unexpected losses on mortgages and mortgage-related securities. Here we examine model risk arising from innovations in mortgage markets and how those innovations affect asset values. In particular, we examine the effect of parameter...

Mortgage contract design has been identified as a contributory factor in the recent market crisis. Here we examine alternative mortgage products (including interest-only and other deferred amortization structures) and develop a game theoretic model of contract choice given uncertain future...

We examine stated income loans originated by Bear Stearns affiliates during the recent housing market run-up and market collapse. After showing the extent to which these loans have higher default rates than do fully documented loans after controlling for other risk factors, we develop a measure...