Leverage and Mortgage Foreclosures
Posted: 9 Feb 2011
There are 2 versions of this paper
Date Written: February 8, 2011
Abstract
In this paper, we deduce the default and prepayment characteristics of mortgages by examining the actual behavior of a large set of conformation fixed rate mortgages tracked over time. Employing reduced form pricing techniques, we are then able to fully value such mortgages, and so determine the cost as well as the probability of default for any particular mortgage. The analysis reveals the levels of foreclosures that can be expected when loans are leveraged at the high loan-to-value ratios characteristic of recent years.
Keywords: Mortgage, Default, Leverage
Suggested Citation: Suggested Citation
Kau, James B. and Keenan, Donald C. and Keenan, Donald C. and Smurov, Alexey A., Leverage and Mortgage Foreclosures (February 8, 2011). Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011, Available at SSRN: https://ssrn.com/abstract=1758043
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