Underwater mortgages and mortgage default risk in a recourse market
Underwater mortgages and mortgage default risk in a recourse market
Underwater mortgages and mortgage default risk in a recourse market
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Conclusions<br />
Conclusions <strong>and</strong> further research<br />
- Probability of underwater affected by<br />
◮ price <strong>in</strong>crease from home purchase to now,<br />
◮ age head of household,<br />
◮ occupancy duration,<br />
◮ home value<br />
- Aggregate <strong>default</strong> probabilities<br />
◮ Negative equity not sufficient condition for <strong>default</strong><br />
(<strong>in</strong> probit model the ‘underwater’ variable not significant)<br />
◮ Equity is most important variable <strong>in</strong> duration model<br />
- Further research: extend the duration analysis<br />
◮ <strong>in</strong>clud<strong>in</strong>g 2011<br />
◮ regional decomposition<br />
◮ f<strong>in</strong>d data on number of guarantees still outst<strong>and</strong><strong>in</strong>g per v<strong>in</strong>tage year<br />
(??) → compet<strong>in</strong>g <strong>risk</strong> model<br />
Schilder & Francke (UvA/ASRE/Ortec) <strong>Underwater</strong> <strong><strong>mortgage</strong>s</strong>/<strong>mortgage</strong> <strong>default</strong> <strong>risk</strong> ERES 2012 36 / 36
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