Mortgage Loan Securitization and Relative Loan Performance
By:John Krainer
Published on 2010-08 by DIANE Publishing
Compares the ex ante observable risk characteristics and the default rates of securitized mortgage loans and mortgage loans retained by the original lender. Privately securitized loans tend to be riskier and to default at a faster rate than loans securitized with the GSEs and lender-retained loans. The differences in default rates across investor types are of secondary importance for explaining mortgage defaults compared to more conventional predictors, such as original loan-to-value ratios and the path for house prices. Privately securitized home mortgages have conditionally higher expected returns than retained loans, suggesting the presence of risk factors that are unobservable but nonetheless at least partially acknowledged by the market. Illus.
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Book which was published by DIANE Publishing since 2010-08 have ISBNs, ISBN 13 Code is 9781437931181 and ISBN 10 Code is 1437931189
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