This paper analyzes the performance of low income and minority mortgages (LIMMs) from a large sample of fixed rate conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In particular, we test the extent to which options...

Buckley, Karaguishiyeva, Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various...

This article analyzes the performance of low-income and minority mortgages (LIMMs) from a large sample of fixed-rate conventional conforming mortgages. We find that low-income borrowers are less likely to prepay when it is optimal, whereas black and Hispanic borrowers prepay more slowly than...