Complex mortgages became a popular borrowing instrument during the bullish housing
market of the early 2000s but vanished rapidly during the subsequent downturn. These non …

Credit scoring models are important tools in the credit granting process. These models
measure the credit risk of a prospective client based on idiosyncratic variables and …

We examine the role of borrower concerns about future credit availability in mitigating the
effects of adverse selection and income misrepresentation in the mortgage market. We show …

Customer retention is crucial in a variety of businesses as acquiring new customers is often
more costly than keeping the current ones. As a consequence, churn prediction has …

Using a rich database of non-prime mortgages from New York City, we find that census tract
level neighborhood characteristics are important predictors of default behavior, even after …

We study how bank residential mortgage lending standards are affected by risks to the local
economy from natural disasters. We find that banks tighten lending standards in disaster-hit …

We propose estimating a model for Loss Given Default (LGD) that allows accounting for
spatial dependence between peer-to-peer (P2P) loans. We suggest the LGD two-stage …

Since 2008, extensive research has examined the impacts of mortgage market
financialisation, particularly the socio-spatial patterns of mortgage defaults and foreclosures …

The explosive growth of subprime mortgage originations in the early 2000s coincided with
the initial formation, and subsequent collapse, of the residential housing bubble. Given their …

Asset bubbles come and go. Only the housing bubble, however, brought the economy to its
knees. Why? What makes housing uniquely a cause of macroeconomic risk? This article …