Loan Loss Severity and Optimal Mortgage Default
作者： Vassilis Lekkas , John M Quigley , Robert Van Order
关键词: Loan 、 Economics 、 Actuarial science 、 Default 、 Economics and Econometrics 、 Accounting 、 Finance
摘要: This paper tests the contingent claims model of mortgage default in its ruthless or frictionless form. The principal are based on an unconventional source data, namely, loan loss severities defaulted mortgages. has well-defined predictions about which we test detail. data analyzed include a random sample all mortgages originated during period 1975–90 and purchased by Freddie Mac, as well Mac period. does not do these tests.
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