A Note on Mortgage Risk: Default vs. Loss Rates

This note reexamines the role of the loan-to-value ratio on mortgage risk. Whereas previous studies have focused on the default rate as a function of this term, this study considers the additional effect on the loss rate of defaulted loans. Because the dollar loss per amount originated is the product of the default rate and the loss rate on defaulted loans, the impact of the loan-to-value ratio on both the default and loss rates is crucial to explaining the impact of the loan-to-value ratio on mortgage risk. I find that both rates are significantly positively related to loan-to-value ratio and that the loss rate accounts for between 13% and 20% of total loan-to-value impact.     

Mortgage Prepayment and Default Decisions: A Poisson Regression Approach

This paper uses an extensive and geographically dispersed sample of single-family fixed rate mortgages to assess the prepayment and default behavior of individual homeowners. We make use of Poisson regression to efficiently estimate the parameters of a proportional hazards model for prepayment and default decisions. Poisson regression for grouped survival data has several advantages over partial likelihood methods. First, when dealing with time-dependent covar-iates, it is considerably more efficient in terms of computations. Second, it is possible to estimate full-hazard models which include, for example, functions of time as well as multiple time scales (i.e., age of the loan and calendar time), in a much more straightforward manner than partial likelihood methods for un-grouped data. Third, Poisson regression can be used to estimate non-proportional hazards models such as additive excess risk specifications. Taken together, our data and estimation methodology allow us to obtain a better understanding of the economic factors underlying prepayment and default decisions.     

Mortgage Default Risks and the 1971 San Fernando Earthquake

The paper is based on a study of mortgage default risks associated with natural disasters. These risks are faced by holders of mortgages when forced by default to acquire damaged properties. A sample of residential mortgage properties damaged in the 1971 San Fernando, California earthquake is studied. Some of the mortgagors defaulted while others did not. The paper identifies and analyzes those variables associated with default using discriminant and probit regression analysis. The study concentrates on earthquake exposures in California, but has implications for all major disasters.     

Regional Economic Stability and Mortgage Default Risk in the Netherlands

This paper investigates the relationship between regional economic diversification and stability, and residential mortgage default risk in the Netherlands. To describe and measure regional economic diversity and stability, methods from both the regional economics and the industrial economics literature are used. All measures are based on regional employment characteristics. Mortgage default rates were obtained from a database of the population of insured mortgage defaults in the Netherlands from 1983 through 1990. To test the relationship between the measures and mortgage default risk, cross sectional Seemingly Unrelated Regression was used. The paper concludes that the employed measures explain regional mortgage default rates to a significant extent, and that stability measures outperform diversity measures.     

Efficiency in the Mortgage Market: The Borrower's Perspective

This paper uses mortgage history data from the Federal Home Loan Mortgage Corporation to analyze the prepayment behavior of homeowners and to test whether borrowers exercise their prepayment options in a manner consistent with contingent claims models. A variety of hazard models are estimated from individual data on more than 6000 mortgages issued during the 1976–1980 period. In these models, it is clear that the extent to which the prepayment option is "in the money" has a strong effect on behavior. However, it is less clear that the option is exercised quite as ruthlessly as the theory predicts.     

A Research Note on Discrimination in Mortgage Lending

This paper examines the hypothesis that mortgage lenders rank applications from better to worst and encourage the better ones to apply. A second ranking occurs when the application is ranked by the loan committee and funds are approved from the top of the list until exhausted. A theoretically correct procedure for analyzing the resulting multivariate ordinal data is the little known rank multiple discriminant analysis. Preliminary results have revealed that this technique produces a "best" model with fewer variables and a higher classification rate than the commonly known multiple discriminant analysis, logit, or probit.     

商品原油交接中计量纠纷的技术对策

本文从近年发生的原油计量纠纷的产生原因入手,分析它们产生计量示值量差的技术成因,探讨通过现场实验和标定方法量化出差量、公正地处理争议的途径.为实现科学的、公平的和准确的交易,营造一个良好的商品原油交接的市场氛围.     

Privatized Default Risk and Real Estate Recessions: The U.K. Mortgage Market

A mortgage pricing model is developed when a borrower goes through a series of distress states, including delinquency, long-term nonpayment and ultimate default. These steps are sequential, and depend on prices and alternatives faced by the borrower. The multistate default model is applied to the mortgage market in the United Kingdom. As a byproduct, a pricing structure for the U.K. endowment mortgage, which combines a good and a life insurance policy, is developed. Income and liquidity constraints are shown to affect the decision to keep a mortgage current in different states of distress. Solvent borrowers may thus keep their mortgages current, even when equity is negative.     

Industrial Real Estate Mortgage Default Experience of the New York State Job Development Authority Second Loan Program: A Preliminary Investigation

This paper explores the loan loss experience of a public industrial lending authority, employing contemporaneous borrower net equity as a link to mortgage loan default. The relationship between default, net equity and bankruptcy is tested on a small longitudinal data set of loans using nonparametric statistics and a proportional hazard model. Results show that negative net equity and firm bankruptcy are strongly associated with default among the study population. Further, the borrowers studied did not exercise the put option promptly, suggesting potential benefits from monitoring net equity one year or more prior to default.     

团队建设研究的新思路:边界管理的视角

团队建设是组织理论研究的一个重要问题。本文通过文献回顾,评价了以往团队建设研究的三种视角;在澄清边界、边界活动和边界管理内涵的基础上,考察组织变革中边界社会化和边界活动向内迁移的趋势,并指出这种趋势对边界视角的团队建设研究的启示;界定团队内向边界管理和外向边界管理的概念,分析内向与外向边界活动既竞争又相互支持与互补的协同关系,并提出通过内向与外向边界管理的动态平衡机制实现高效团队的措施;指出团队边界管理需进一步研究与探讨的问题。     

Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data

In this paper we estimate a model of mortgage borrower behavior using micro-level data on Canadian borrowers with rollover mortgages—a form of adjustable-rate mortgage. Our results suggest that the probability of default rises with a decrease in housing equity and an increase in the mortgage contract rate; however the size of these changes is relatively small. They also show that partial prepayment is sensitive to fluctuations in the rates of return from investing in housing versus other assets. For the United States experience, our results suggest that, relative to fixed-rate mortgage borrowers, adjustable-rate mortgage borrowers are more likely to default and less likely to prepay.     

住房抵押贷款提前还贷风险管理研究

从现代金融和风险管理角度看,住房抵押贷款提前还贷对商业银行是一种期权性风险,对其收取违约金并非国际惯例,也并不是有效的风险补偿方式。商业银行应适应市场竞争需要,接受风险转嫁并提供风险管理服务,运用风险定价技术在按揭交易价格中对提前还贷风险进行补偿。对于已承担的风险,商业银行应构建抵押贷款提前还贷的数据库,通过表内对;中和市场对冲,推出多样化的住房抵押贷款方式,积极推进住房抵押贷款证券化．从而最终增强银行的盈利来源和核心竞争力。     

FHA Terminations: A Prelude to Rational Mortgage Pricing

Recent models of pricing mortgages and/or mortgage insurance have used option-pricing models as their framework. The focus is usually on default, which is viewed as a put option (to sell the house to the lender in exchange for the mortgage) and prepayment, which is viewed as a call option (to buy the mortgage from the lender). Analysis then uses techniques like those used to price options in capital markets. Unfortunately, homeowners do not seem to exercise their option as quickly as do traders in organized markets. We estimate prepayment and default functions, which are meant to be a first step in developing modified, option-based models of mortgage pricing.     

A Note on Identification of Discrimination in Mortgage Lending

This paper shows how reduced form estimates of discrimination in mortgage lending may be biased by race differences in loan demand. The result, which follows formally from the model of the mortgage lending process developed in the seminal paper by Maddala and Trost (1982), has important implications for the regulation of financial institutions. It also reinforces findings of Rachlis and Yezer (1993) and Yezer, Phillips and Trost (1994). A review of recent empirical evidence on race differences in loan demand suggests that this factor may help explain mortgage loan application differentials.     

Mortgage Lending Discrimination and the Decision to Apply: A Methodological Note

Previous studies of lenders' decisions to accept or reject loan applications have not accounted for the possibility that lenders discourage written applications from members of protected classes, i.e., prescreening. This paper discusses how prescreening and self-selection may bias the measurement of discrimination. Estimation techniques are developed that test and correct for such bias whether or not information is available on non-applicants.     

系统论视角下CBE模式的成功因素分析及启示

CBE模式的开发理念、方法与过程等都对后继的教育改革产生了深远影响,并得到了广泛应用。文章以系统论为研究视角,将CBE模式看作信息加工的过程,分析了环境、制度、实施过程、评价主体等要素以及要素间的相互关系,并试图在市场需求分析以及企业和行业协会的参与作用方面进行创新,为更好借鉴CBE模式提供参考依据。     

地区差距的新视角:人口与产业分布不匹配研究

地区差距从空间上看表现为人口与产业分布的不匹配,因此研究不匹配是审视地区差距的一个新视角。本文通过构造测度不匹配程度的指数,描绘了我国人口与产业不匹配程度的现状与变化趋势;并在分析不匹配形成机理的基础上,提出了三个可能导致其扩大的研究假设。通过实证分析,发现人口与产业不匹配程度会随着经济发展呈现出先升后降的变化趋势,在此过程中,人口迁移壁垒、资本边际产出变动差异对不匹配扩大起到了推动作用,而国家区域协调发展战略在阻止其扩大方面发挥了一定的作用。     

行业标准的营销策略研究:交易费用经济学的视角

在新古典经济学的世界里，由于预设了交易费用为零，决定了它不可能成为企业研究制定营销策略的有效经济学理论基础。恰恰在这一点上，交易费用经济学(TCE)有着巨大威力。本文从TCE的视角出发，在对经典的行业标准之战(Standards War)案例的分析基础之上，给出了行业标准形成过程的经济学分析与解释，并对一般行业的标准营销策略的制定提供了相应建议。