Leverage and Mortgage Foreclosures

被引：0
|
作者：
James B. Kau
Donald C. Keenan
Alexey A. Smurov
机构：
[1] University of Georgia,Department of Insurance, Legal Studies and Real Estate, Terry College of Business
[2] University of Georgia,Department of Economics
[3] Université de Cergy-Pontoise et THEMA,undefined
[4] Federal National Mortgage Association (Fannie Mae),undefined
来源：
The Journal of Real Estate Finance and Economics | 2011年 / 42卷
关键词：
Mortgage; Default; Leverage;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we deduce the default and prepayment characteristics of mortgages by examining the actual behaviors of a large set of conforming 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.
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页码：393 / 415
页数：22
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