Underwater mortgages and mortgage default risk in a recourse market

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ddddl ddddl dl dl dl Schilder & Francke (UvA/ASRE/Ortec) Underwater mortgages/mortgage default risk ERES 2012 34 / 36 Results default probability: duration Simple wage scenarios — cum. default prob. ddddl dddddeeeeddddddddddddde
Results default probability: duration Complex scenarios Simple scenarios (and also marginal effects) assume a path for one explanatory variable, while holding others at historical averages. - The explanatory are highly correlated - More realistic projections, scenarios with realistic correlations - Final caveat: some scenarios will fall far outside historical precedent. How far the estimated logit specification continues to hold is on open question. Schilder & Francke (UvA/ASRE/Ortec) Underwater mortgages/mortgage default risk ERES 2012 35 / 36
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Page 3 and 4: Dutch Housing Market Mortgage debt
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Underwater mortgages and mortgage default risk in a recourse market

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