Mortgage Loss Severities: What Keeps Them So High?
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DOI: 10.21799/frbp.wp.2020.37
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References listed on IDEAS
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Cited by:
- Mayock, Tom & Tzioumis, Konstantinos, 2021. "New construction and mortgage default," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Stephanie Moulton & Yung Chun & Stephanie Casey Pierce & Roberto Quercia & Sarah Riley & Holly Holtzen, 2022. "Does Temporary Mortgage Assistance for Unemployed Homeowners Reduce Longer‐Term Mortgage Default? An Analysis of the Hardest Hit Fund Program," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., vol. 41(2), pages 515-551, March.
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More about this item
Keywords
loss-given default (LGD); foreclosure timelines; regulatory changes; Heckman two-stage model; accelerated failure time model;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2020-11-16 (Risk Management)
- NEP-URE-2020-11-16 (Urban and Real Estate Economics)
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