کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089092 | 1478336 | 2014 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Loss given default of residential mortgages in a low LTV regime: Role of foreclosure auction process and housing market cycles
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Using loan-level foreclosure auction data we study the loss given default (LGD) of defaulted residential mortgages originated in Korea, a low LTV regime. We find that senior mortgages generate very low loss rates (5-10%) while losses of subordinated claims are in 30-50% range. We document the effects of housing market cycles on loss severity by showing that collateral characteristics that are overvalued during the boom increase loss severity during the market downturn. We also investigate how a broad set of time-of-origination and post-origination information on loan, collateral and borrower characteristics and foreclosure auction process influence the LGD of residential mortgages.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 39, February 2014, Pages 192-210
Journal: Journal of Banking & Finance - Volume 39, February 2014, Pages 192-210
نویسندگان
Yun W. Park, Doo Won Bang,