کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088290 | 1478305 | 2016 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Qualified residential mortgages and default risk
ترجمه فارسی عنوان
وام مسکن واجد شرایط مسکن و ریسک پیش فرض
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The Dodd-Frank Act tasks regulators with defining a Qualified Residential Mortgage (QRM) as an exemption from risk retention for residential mortgage-backed securities. Congress instructs regulators to consider factors that result in lower levels of historic default in defining a QRM. We analyze non-agency loans and find credit scores and loan-to-value ratios are among the most significant predictors of default, even when controlling for risky loan products and loose underwriting standards. Importantly, credit scores and loan-to-value ratios better tradeoff the benefit of reduced default risk with the cost of limiting access to capital than most factors, yet are absent from the final QRM definition. Our results have important implications for current and future policy on residential mortgage securitization, risk retention, and disclosure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 70, September 2016, Pages 86-104
Journal: Journal of Banking & Finance - Volume 70, September 2016, Pages 86-104
نویسندگان
Ioannis Floros, Joshua T. White,