Mortgage Default and Mortgage Valuation
Mortgage Default and Mortgage Valuation

Author: John Krainer

Publisher: DIANE Publishing

Published: 2010-10

Total Pages: 45

ISBN-13: 143793384X

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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.

Mortgage Valuation Models
Mortgage Valuation Models

Author: Andrew S. Davidson

Publisher: Oxford University Press, USA

Published: 2014

Total Pages: 465

ISBN-13: 0199998167

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Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Part 200
Part 200

Author: United States. Department of Housing and Urban Development. Office of Housing

Publisher:

Published: 1983

Total Pages: 894

ISBN-13:

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