Matches in SemOpenAlex for { <https://semopenalex.org/work/W2182165191> ?p ?o ?g. }
- W2182165191 abstract "The conuence of rising home prices, declining interest rates, and near-frictionles renanc- ing opportunities led to vastly increased systemic risk in thenancial system. Individually, each of these trends is benign, but when they occur simultaneously, as they did over the past decade, they impose an unintentional synchronization of homeowner leverage. This synchro- nization, coupled with the indivisibility of residential real estate that prevents homeowners from deleveraging when property values decline and homeowner equity deteriorates, conspire to create a ratchet effect in which homeowner leverage is maintained during good times without the ability to decrease leverage during bad times. We simulate the U.S. housing market with and without equity extractions, and estimate the losses absorbed by mortgage lenders by valuing the embedded put-option in non-recourse mortgages, generating loss esti- mates of $1.6 trillion from June 2006 to December 2008 under historical market conditions, compared with simulated losses of $311 billion in the absence of equity extractions. We use option pricing technology to estimate commonly used option sensitivities (delta, gamma and vega) for the U.S. residential mortgage system. These metrics have the potential to be used as ex-ante quantitative measures of systemic risk in the mortgage system." @default.
- W2182165191 created "2016-06-24" @default.
- W2182165191 creator A5049749417 @default.
- W2182165191 creator A5056280358 @default.
- W2182165191 creator A5062751159 @default.
- W2182165191 date "2011-01-01" @default.
- W2182165191 modified "2023-09-26" @default.
- W2182165191 title "Systemic Risk and the Renancing Ratchet Effect" @default.
- W2182165191 cites W113683268 @default.
- W2182165191 cites W1512104087 @default.
- W2182165191 cites W1514024461 @default.
- W2182165191 cites W1516438264 @default.
- W2182165191 cites W1540065555 @default.
- W2182165191 cites W1573242418 @default.
- W2182165191 cites W1580838193 @default.
- W2182165191 cites W1590260151 @default.
- W2182165191 cites W1891837340 @default.
- W2182165191 cites W1979324838 @default.
- W2182165191 cites W1999514806 @default.
- W2182165191 cites W2009542861 @default.
- W2182165191 cites W2017059355 @default.
- W2182165191 cites W2018899948 @default.
- W2182165191 cites W2022843823 @default.
- W2182165191 cites W2029023465 @default.
- W2182165191 cites W2032605362 @default.
- W2182165191 cites W2034309299 @default.
- W2182165191 cites W2041823389 @default.
- W2182165191 cites W2047394894 @default.
- W2182165191 cites W2067767107 @default.
- W2182165191 cites W2073108281 @default.
- W2182165191 cites W2074524292 @default.
- W2182165191 cites W2097684308 @default.
- W2182165191 cites W2106986439 @default.
- W2182165191 cites W2108395480 @default.
- W2182165191 cites W2111033720 @default.
- W2182165191 cites W2112378860 @default.
- W2182165191 cites W2127589278 @default.
- W2182165191 cites W2129483533 @default.
- W2182165191 cites W2148365146 @default.
- W2182165191 cites W2151065060 @default.
- W2182165191 cites W2161809594 @default.
- W2182165191 cites W2165389461 @default.
- W2182165191 cites W2166422545 @default.
- W2182165191 cites W2171687663 @default.
- W2182165191 cites W2187388759 @default.
- W2182165191 cites W2241914023 @default.
- W2182165191 cites W2607497417 @default.
- W2182165191 cites W2769320280 @default.
- W2182165191 cites W3121889121 @default.
- W2182165191 cites W3121936044 @default.
- W2182165191 cites W3122049385 @default.
- W2182165191 cites W3122156058 @default.
- W2182165191 cites W3122342192 @default.
- W2182165191 cites W3122613737 @default.
- W2182165191 cites W3122733610 @default.
- W2182165191 cites W3122873245 @default.
- W2182165191 cites W3123010574 @default.
- W2182165191 cites W3123101249 @default.
- W2182165191 cites W3123117189 @default.
- W2182165191 cites W3123256822 @default.
- W2182165191 cites W3123439430 @default.
- W2182165191 cites W3123697177 @default.
- W2182165191 cites W3124080152 @default.
- W2182165191 cites W3124402907 @default.
- W2182165191 cites W3124530062 @default.
- W2182165191 cites W3124856600 @default.
- W2182165191 cites W3124868680 @default.
- W2182165191 cites W3125516701 @default.
- W2182165191 cites W3125978383 @default.
- W2182165191 cites W3126072850 @default.
- W2182165191 cites W3126113144 @default.
- W2182165191 cites W3146013167 @default.
- W2182165191 cites W170228646 @default.
- W2182165191 cites W181895983 @default.
- W2182165191 cites W2024958723 @default.
- W2182165191 hasPublicationYear "2011" @default.
- W2182165191 type Work @default.
- W2182165191 sameAs 2182165191 @default.
- W2182165191 citedByCount "0" @default.
- W2182165191 crossrefType "journal-article" @default.
- W2182165191 hasAuthorship W2182165191A5049749417 @default.
- W2182165191 hasAuthorship W2182165191A5056280358 @default.
- W2182165191 hasAuthorship W2182165191A5062751159 @default.
- W2182165191 hasConcept C10138342 @default.
- W2182165191 hasConcept C119857082 @default.
- W2182165191 hasConcept C120527767 @default.
- W2182165191 hasConcept C139719470 @default.
- W2182165191 hasConcept C144133560 @default.
- W2182165191 hasConcept C144587487 @default.
- W2182165191 hasConcept C153083717 @default.
- W2182165191 hasConcept C162324750 @default.
- W2182165191 hasConcept C17744445 @default.
- W2182165191 hasConcept C199539241 @default.
- W2182165191 hasConcept C199728807 @default.
- W2182165191 hasConcept C2778300220 @default.
- W2182165191 hasConcept C2779019792 @default.
- W2182165191 hasConcept C41008148 @default.
- W2182165191 hasConcept C556758197 @default.
- W2182165191 hasConcept C82279013 @default.
- W2182165191 hasConceptScore W2182165191C10138342 @default.