Larry Cordell

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Immergluck for helpful comments. The views expressed here are the authors' and not necessarily those of the Federal Reserve Banks of Atlanta or Boston or the Federal Reserve System. Any remaining errors are the authors' responsibility. Federal Reserve Bank of Atlanta working papers, including revised versions, are available on the Atlanta Fed's Web site at(More)
  • Ronel Elul, MORTGAGE DEFAULT, +10 authors Nicholas Souleles
  • 2009
The academic literature, the popular press, and policymakers have all debated securitization's contribution to the poor performance of mortgages originated in the run-up to the recent crisis. Theoretical arguments have been advanced on both sides, but the lack of suitable data has made it difficult to assess them empirically. We examine this issue by using(More)
and the staffs at the Federal Reserve Board and the Federal Reserve Banks of Boston, New York, and Philadelphia for helpful comments. The views expressed here are those of the authors and do not necessarily reflect those of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. Abstract This paper conducts an in-depth analysis of structured(More)
* The opinions expressed in this paper are those of the authors and not necessarily those of the Federal Reserve Bank of Philadelphia or Amherst Securities Group, LP. We wish to thank Vidya Shenoy for valuable research assistance and Rob Dittmar for valuable advice on the econometrics and members of the Research Department at the Federal Reserve Bank of(More)
NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) Abstract. A key feature of the 2007 financial crisis is that for some(More)
We provide new evidence of cyclical variation in mortgage default option exercise. For a given level of negative equity, borrower propensity to default rose markedly during the financial crisis and among hard-hit metropolitan areas. Results show that shifts in borrower behavior were more salient to crisis-period defaults than were adverse shocks to home(More)
The Agency CMO market, an often overlooked corner of mortgage finance, has experienced tremendous growth over the past decade. This paper explains the rationale behind the construction of Agency CMOs, quantifies risks embedded in Agency CMOs using a traditional and a novel approach, and offers valuable lessons learned when interpreting these risk measures.(More)
1 1 Cordell is business lead and Hopkins and Huang are senior analysts in the Risk Assessment, Data Analysis, and Research (RADAR) Group of the Federal Reserve Bank of Philadelphia. The views expressed here are those of the authors and do not necessarily represent the views of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. ABSTRACT(More)
This paper presents an integrated high performance computing environment designed by the Federal Reserve System (FRS) for financial risk evaluation and monitoring. The environment houses monthly account-level data on most major US consumers' loans, securities-level data and software. Economists across the system use the environment to link data, build(More)