Mortgage Default and Mortgage Valuation
By:John Krainer
Published on 2010-10 by DIANE Publishing
The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.
This Book was ranked at 26 by Google Books for keyword Mortgage.
Book ID of Mortgage Default and Mortgage Valuation's Books is iLObFM5x8a4C, Book which was written byJohn Krainerhave ETAG "2UdkXeahYWE"
Book which was published by DIANE Publishing since 2010-10 have ISBNs, ISBN 13 Code is 9781437933840 and ISBN 10 Code is 143793384X
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