Risk Measurement 违约概率随时间的变化(Default Probabilities over Time)及其与危险率(Hazard Rate)的关系 回收率(Recovery Rates) 贷款利差(Spread)与违约概率(Default Probability, PD) 信用违约互换(CDS)利差 与 违约概率(Default Probability) 期权模型(Option Models) 和 违约概率(Default Probabilities) Default Mo...
FanThe dissertation composes of two essays on credit risk in mortgage lending and securitization. The first essay studies the impact of credit rating agency interactions on credit rating quality. The second essay focuses on credit risk of high loan-to-value (LTV) mortgage.Wang, Fan...
During the 1990s, the role of subprime lending in the mortgage market changed from a small and rarely considered segment into a highly visible and controversial part of the market. While public controversy exists regarding what role subprime lending should take, there has been little evidence showin...
Risk management refers to more than just procedures for granting a loan. It also takes into account the bank’s big picture. Does a bank’s existing loan procedures leave enough in the bank’s reserves to cover any immediate losses? The 2007 mortgage crisis was in part caused by too many ...
"UnderstandingtheSecuritizationofSubprimeMortgageCredit,"byAdamB.AshcraftandTilSchuermann,reprintedfrom FoundationsandTrends®inFinance:Vol.2,No.3(2008),bypermissionofNowPublishers,Inc. "CapitalStructureinBanks,"byGerhardSchroek,RiskManagementandValueCreationinFinancialInstitutions(2002), bypermissionofJohnWile...
This paper examines discrimination in mortgage lending in teh United States over three decades in 1960 to 1990. We focus on whether deregulation, increased Federal oversight and enhanced competition reduce discrimination as becker's theory suggests (Becker, 1971). We find that discrimination is ...
No specific credit score will qualify you for a mortgage because lenders look at multiple factors, and your credit score is just one of them. Your credit score, a number that lenders use to estimate the risk of extending credit or lending money, is a key factor in determining if you will...
subprime mortgage crisis to demand-side factors that contributed to the rapid expansion of the U.S. mortgage market. We show that denial rates were relatively lower in areas that experienced faster credit demand growth and that lenders in these high-growth areas attached less weight to applicants...
emphasize house price fluctuations and lax lending criteria. Another explanat... PE Carrillo - 《Journal of Real Estate Finance & Economics》 被引量: 18发表: 2013年 Residential Mortgage Credit Derivatives As the fallout from subprime losses clearly demonstrates, the credit risk in residential ...
Banks can manage credit risk with several strategies. They can set specific standards for lending, including requiring a certain credit score from borrowers. Then, they can regularly monitor their loan portfolios, assess any changes in borrowers' creditworthiness, and make any adjustments. ...