Loss given default of high loan-to-value residential mortgages
By: by Min Qi and Xiaolong Yang
Contributors: Yang, Xiaolong; United States. Office of the Comptroller of the Currency
Series: Economic and policy analysis working paper -- 2007-4; Economic and policy analysis working paper (2000 : Online) -- 2007-4.
Publisher: Office of the Comptroller of the Currency
Published: 2007
Place of publication: Washington, DC
Language: eng
Format: [electronic resource] /
Description: "This paper studies residential mortgage loss given default using a large set of historical loan-level default and recovery data of high loan-to-value mortgages from several private mortgage insurance companies. We show that loss given default can largely be explained by various characteristics associated with the loan, the underlying property, and the default, foreclosure, and settlement process. We find that the current loan-to-value ratio is the single most important determinant. More importantly, mortgage loss severity in distressed housing markets is significantly higher than under normal housing market conditions. Our empirical results have important policy implications for risk-based capital"--Office of the Comptroller of the Currency web site.
Notes: Title from PDF file as viewed on 9/10/2007.

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