Loss Given Default of High Loan-to-Value Residential Mortgages

by Office of the Comptroller of the Currenc and Office of the Comptroller of the Currency

This paper studies residential mortgage loss given default using a large set of historical loan-level default and recovery data of high loan-to-value mortgages from several private mortgage insurance companies. We show that loss given default can largely be explained by various characteristics associated with the loan, the underlying property, and the default, foreclosure, and settlement process.

• Format: Paperback
• Language: English
• ISBN: 1505309808
• ISBN13: 9781505309805
• Release Date: December 2014
• Publisher: Createspace Independent Publishing Platform
• Length: 38 Pages
• Weight: 0.25 lbs.
• Dimensions: 0.1" x 8.5" x 11.0"