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- W2126869275 abstract "Mortgage defaults are involuntary prepayments caused by the liquidation of loans following delinquency and foreclosure. Default projections are required for projecting loss-adjusted cash flows for mortgage pools, and they are key to accurately quantifying mortgage credit risk. This article describes a model that projects default rates as a function of mortgage and borrower characteristics and economic variables such as home price appreciation, unemployment and interest rates. We use the model to examine defaults and losses on subprime and AltA mortgages, focusing in particular on recent vintage subprime loans and on the ABX indexes. <b>TOPICS:</b>MBS and residential mortgage loans, credit risk management, factor-based models" @default.
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- W2126869275 date "2008-03-31" @default.
- W2126869275 modified "2023-09-26" @default.
- W2126869275 title "Modeling of Mortgage Defaults" @default.
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- W2126869275 doi "https://doi.org/10.3905/jfi.2008.705539" @default.
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