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dc.contributor.authorDo, HXen_US
dc.contributor.authorRosch, Den_US
dc.contributor.authorScheule, Hen_US
dc.date.issued2016-06-30en_US
dc.identifierhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2833145en_US
dc.identifier.citation2016en_US
dc.description.abstractThis paper analyses how borrower liquidity constraints and home equity relate to the realized loss given default (LGD) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans with zero-LGD as cure loans and those with non-zero LGD as non-cure loans. We find robust evidence that the borrower liquidity constraints and positive equity are explaining cure, while negative equity explains non-zero loss. However, a relationship between borrower liquidity constraints and the non-zero LGD is not economically meaningful. Our findings support to separate cure and non-cure loans in mortgage loss risk models.en_US
dc.relation.urihttp://dx.doi.org/10.2139/ssrn.2833145en_US
dc.subjectCure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selectionen_US
dc.titleLiquidity constraints, home equity and residential mortgage lossesen_US
dc.typeOther
dc.identifier.doi10.2139/ssrn.2833145en_US
dc.identifier.elements-id401535
pubs.organisational-group/Massey University
pubs.organisational-group/Massey University/Massey Business School
pubs.organisational-group/Massey University/Massey Business School/School of Economics and Finance
dc.identifier.harvestedMassey_Dark
pubs.notesNot knownen_US
pubs.confidentialfalseen_US


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