Understanding the Subprime Mortgage Crisis

@article{Demyanyk2008UnderstandingTS,
  title={Understanding the Subprime Mortgage Crisis},
  author={Yuliya Demyanyk and Otto van Hemert},
  journal={Banking \& Financial Institutions},
  year={2008}
}
Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growth… 
The Subprime Mortgage Collapse and Its Effects on the Economy
The subprime mortgage crisis occurred due to a number of factors. Included in these factors were the issuance of subprime loans, the securitization of mortgages in the investment banking system, and
Subprime Mortgages and Banking in a DSGE Model
Can a DSGE model replicate the financial crisis effects without assuming unprecedented and implausibly large shocks? Starting from the assumption that the subprime crisis triggered the financial
Estimation of the Causes of Subprime Mortgage Crisis by Grece Aoun November
In light of the recent mortgage crisis, identifying the origins is crucial to prevent such a crisis from reoccurring in the future. This paper primarily links foreclosure to subprime loan expansion.
Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007–2008. This paper characterizes the evolution of factors affecting collateralized
Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities 1
The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007–8. This paper characterizes the evolution of factors affecting collateralized debt
The Mortgage Rate Conundrum
We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates
A note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitization
In this brief research article, we consider the financial modelling of the process of mortgage loan securitization that has been a root cause of the ongoing Subprime Mortgage Crisis (SMC). In
Systematic and liquidity risk in sub-prime mortgage-backed assets
The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized
The Supreme Subprime Myth: The Role of Bad Loans in the 2007-2009 Financial Crisis
Using simulations, we show that the probability of default and losses given default of subprime mortgage loans are small in comparison to their interest rates. The implication is that these loans are
The Role of Mortgage Brokers in the Subprime Crisis
Prior to the subprime crisis, mortgage brokers originated about 65% of all subprime mortgages. Yet little is known about their behavior during the runup to the crisis. Using data from New Century
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 70 REFERENCES
Subprime Refinancing: Equity Extraction and Mortgage Termination
This paper examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market while refinancing and assesses the prepayment and default
Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market
This paper studies the relationship between the recent boom and current delinquencies in the subprime mortgage market. Specifically, we analyze the extent to which this relationship can be explained
Housing, Credit Markets and the Business Cycle
The housing sector is now (September 2007) at the root of three distinct but related problems: (1) a sharp decline in house prices and the related fall in home building; (2) a subprime mortgage
On the Economics of Subprime Lending
US mortgage markets have evolved radically in recent years. An important part of the change has been the rise of the “subprime” market, characterized by loans with high default rates, dominance by
Money for Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets
After a number of warning signs, the U.S. "subprime mortgage crisis" became a headline issue in February 2007. Notwithstanding the bankruptcy of numerous mortgage companies, historically high
Lending Booms and Lending Standards
This paper examines how the informational structure of loan markets interacts with banks' strategic behavior in determining lending standards, lending volumes, and the aggregate allocation of credit.
Did Securitization Lead to Lax Screening? Evidence from Subprime Loans
A central question surrounding the current subprime crisis is whether the securitization process reduced the incentives of financial intermediaries to carefully screen borrowers. We empirically
Did Securitization Lead to Lax Screening ? Evidence From Subprime Loans 2001-2006 ∗
Theories of financial intermediation suggest that securitization, the act of converting illiquid loans into liquid securities, could reduce the incentives of financial intermediaries to screen
Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
"Limits of Arbitrage" theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the
...
1
2
3
4
5
...