Relative Indicators of Default Risk Among UK Residential Mortgages
نویسندگان
چکیده
منابع مشابه
Strategic Delinquency Options in US Residential Mortgages
Mortgage option theoretic research generally focuses on the valuation of the default and prepayment options. Exercise of the delinquency option is often regarded as an interim step before terminal states of mortgage default or cure and of limited option value in its own right. However, in the current US housing crisis, borrowers may choose to defer a mortgage payment in order to mitigate a cash...
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We use survey data to study American households’ propensity to default when the value of their mortgage exceeds the value of their house even if they can afford to pay their mortgage (strategic default). The cost of defaulting strategically increases in wealth, but at a decreasing rate. It is driven both by pecuniary and non pecuniary factors, such as views about fairness and morality. Exposure...
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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...
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Option theory which has dominated residential mortgage prepayment and default research implies that a borrower will exercise prepayment or default options if the call option or put option, respectively, is "in the money" by some optimal amount. Empirical research provides evidence that the financial value of the call option is strongly associated with exercise of the prepayment option, and the ...
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Mortgage terminations arise because borrowers exercise options. This paper investigates the nonoptimal and apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to analyze this phenomenon -the behavior of irrational or boundedly rational “woodheads.” Of ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1527354