RT Journal Article
SR Electronic
T1 Cause and Effect: <em>The Role of Loan-Level Mortgage Characteristics in RMBS Losses</em>
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 114
OP 125
DO 10.3905/jsf.2011.17.2.114
VO 17
IS 2
A1 David Lehman II
A1 Tyler Simpson
A1 Florin Nedelciuc
YR 2011
UL https://pm-research.com/content/17/2/114.abstract
AB The recent credit crisis has sparked a debate among market participants as to the causes and sources of unprecedented defaults and losses in residential mortgage-backed securities. Conventional wisdom has long held that loans with certain risk characteristics have a higher likelihood of future default. However, an examination of performance data for a select number of representative subprime securities originated at the top of the credit boom in 2006 paints a different picture. This analysis finds that macroeconomic factors, such as house price depreciation and unemployment, among others, clearly outweighed risks inherent in loan-level characteristics.TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans