An Option Based Model of Rational Residential Mortgage Default

Residential Mortgage Default

although default rates on residential mortgages have been relatively low in recent years, policymakers and economists should still be concerned about mortgage default for several reasons. First, while the foreclosure rate in the u.s. has averaged only 1 percent over the past 20 years, there have been dramatic swings in regional default rates over this period. For example, in the early 1990s for...

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

In April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private clients, i.e. borrowers who finance their property by the loan and we model the probability distribution of the number of defaults using a non-parametric intensi...

A Model of Mortgage Default

This paper solves a dynamic model of households’mortgage decisions incorporating labor income, house price, in‡ation, and interest rate risk. It uses a zero-pro…t condition for mortgage lenders to solve for equilibrium mortgage rates given borrower characteristics and optimal decisions. The model quanti…es the e¤ects of adjustable vs. …xed mortgage rates, loan-to-value ratios, and mortgage a¤or...

Residential Mortgage Probability of Default Models and Methods

Internet Appendix for “A Model of Mortgage Default”