PT  - JOURNAL ARTICLE
AU  - Lakhbir S. Hayre
AU  - Manish Saraf
AU  - Robert Young
AU  - Jiakai (David) Chen
TI  - Modeling of Mortgage Defaults
AID  - 10.3905/jfi.2008.705539
DP  - 2008 Mar 31
TA  - The Journal of Fixed Income
PG  - 6--30
VI  - 17
IP  - 4
4099  - https://pm-research.com/content/17/4/6.short
4100  - https://pm-research.com/content/17/4/6.full
AB  - Mortgage defaults are involuntary prepayments caused by the liquidation of loans following delinquency and foreclosure. Default projections are required for projecting loss-adjusted cash flows for mortgage pools, and they are key to accurately quantifying mortgage credit risk. This article describes a model that projects default rates as a function of mortgage and borrower characteristics and economic variables such as home price appreciation, unemployment and interest rates. We use the model to examine defaults and losses on subprime and AltA mortgages, focusing in particular on recent vintage subprime loans and on the ABX indexes.TOPICS: MBS and residential mortgage loans, credit risk management, factor-based models