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    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62006


    Title: Collateral Risk in Residential Mortgages
    Authors: Tyler T. Yang;Che-Chun Lin;Man Cho
    教師: 林哲群
    Date: 2006
    Publisher: The American Real Estate and Urban Economics Association
    Relation: The American Real Estate and Urban Economics Association Annual Conference,Asian Real Estate Society,Boston, USA,January 31, 2008
    Keywords: Collateral
    default risk
    OFHEO
    Abstract: This paper has three contributions. First, we derive a micro foundation of the property-level home price process that can be used for measuring the collateral-driven default risk borne by a mortgage portfolio. OFHEO’s state-level home price indices are used to quantify marginal contributions of different sources of home price volatility to the two credit risk indicators put forth by the mortgage default literature - the probability of negative equity and the probability of default.
    URI: http://asres2008.shufe.edu.cn/session/papers/c93.pdf
    http://www.areuea.org/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62006
    Appears in Collections:[計量財務金融學系] 會議論文

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