English  |  正體中文  |  简体中文  |  Items with full text/Total items : 54367/62174 (87%)
Visitors : 14538308      Online Users : 61
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTHU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62025

    Title: Collateral Risk in Residential Mortgage Defaults
    Authors: Tyler T. Yang;Che-Chun Lin;Man Cho
    教師: 林哲群
    Date: 2009
    Publisher: Springer Netherlands
    Relation: The Journal of Real Estate Finance and Economics,Springer Netherlands,June 2009
    Keywords: Mortgage default risk
    House price volatility
    Diversification benefit
    Abstract: This paper presents a systematic framework for capturing the collateral-driven mortgage default risk. A forward-looking home price distribution model is developed that explicitly incorporates different sources of volatility in the market value of collateral houses. A consistent and computationally-efficient top-down approach of home price simulation is also introduced. We show that with the proper inclusion of all relevant sources of volatilities, the top-down approach provides close approximation to the results generated by a theoretically sound but computationally demanding bottom-up simulation approach. Using a numerical simulation, we demonstrate that a geographically-diversified mortgage pool entails a substantially lower level of systematic collateral driven mortgage default risk compared to a spatially-concentrated pool.
    URI: http://www.springer.com/
    Appears in Collections:[計量財務金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat


    SFX Query


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback