메뉴 건너뛰기




Volumn 38, Issue 6, 2006, Pages 1431-1460

Risk-based pricing and the enhancement of mortgage credit availability among underserved and higher credit-risk populations

Author keywords

Credit risk; Default; Mortgage; Prepayment; Proportional hazard model; Risk based pricing; Simulation

Indexed keywords


EID: 33748577688     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2006.0079     Document Type: Review
Times cited : (75)

References (46)
  • 2
    • 33748565174 scopus 로고    scopus 로고
    • The impact of the delay between default and foreclosure on the mortgage default option
    • Ambrose, Brent W., Richard J. Buttimer, Jr., and Charles A. Capone (1997). "The Impact of the Delay Between Default and Foreclosure on the Mortgage Default Option." Journal of Money, Credit, and Banking 29, 275-293.
    • (1997) Journal of Money, Credit, and Banking , vol.29 , pp. 275-293
    • Ambrose, B.W.1    Buttimer Jr., R.J.2    Capone, C.A.3
  • 3
    • 0035640376 scopus 로고    scopus 로고
    • Optimal put exercise: An empirical examination of conditions for mortgage foreclosure
    • Ambrose, Brent W., Charles A. Capone, and Yongheng Deng (2001). "Optimal Put Exercise: An Empirical Examination of Conditions for Mortgage Foreclosure." Journal of Real Estate Finance and Economics 23, 213-234.
    • (2001) Journal of Real Estate Finance and Economics , vol.23 , pp. 213-234
    • Ambrose, B.W.1    Capone, C.A.2    Deng, Y.3
  • 4
    • 10844257521 scopus 로고    scopus 로고
    • The effect of conforming loan status on mortgage yield spreads: A loan level analysis
    • Ambrose, Brent W., Michael LaCour-Little, and Anthony B. Sanders (2004). "The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis." Real Estate Economics 32, 541-569.
    • (2004) Real Estate Economics , vol.32 , pp. 541-569
    • Ambrose, B.W.1    LaCour-Little, M.2    Sanders, A.B.3
  • 5
    • 0011380713 scopus 로고    scopus 로고
    • Demographic versus option-driven mortgage terminations
    • Archer, Wayne R., and David C. Ling (1997). "Demographic versus Option-Driven Mortgage Terminations." Journal of Housing Economics 6, 137-163.
    • (1997) Journal of Housing Economics , vol.6 , pp. 137-163
    • Archer, W.R.1    Ling, D.C.2
  • 6
    • 30244539336 scopus 로고    scopus 로고
    • The effect of income and collateral constraints on residential mortgage terminations
    • Archer, Wayne R., David C. Ling, and Gary A. McGill (1996). "The Effect of Income and Collateral Constraints on Residential Mortgage Terminations." Regional Science and Urban Economics 26, 235-261.
    • (1996) Regional Science and Urban Economics , vol.26 , pp. 235-261
    • Archer, W.R.1    Ling, D.C.2    McGill, G.A.3
  • 7
    • 1642550351 scopus 로고    scopus 로고
    • Prepayment risks and lower income mortgage borrowers
    • edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies
    • Archer, Wayne R., David C. Ling, and Gary A. McGill (2002). "Prepayment Risks and Lower Income Mortgage Borrowers." In Low-Income Homeownership: Examining the Unexamined Goal, edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies.
    • (2002) Low-income Homeownership: Examining the Unexamined Goal
    • Archer, W.R.1    Ling, D.C.2    McGill, G.A.3
  • 8
    • 0001186101 scopus 로고    scopus 로고
    • Credit risk, credit scoring, and the performance of home mortgages
    • Avery, Robert, Raphael Bostic, Paul Calem, and Glenn Canner (1996). "Credit Risk, Credit Scoring, and the Performance of Home Mortgages." Federal Reserve Bulletin 82, 621-648.
    • (1996) Federal Reserve Bulletin , vol.82 , pp. 621-648
    • Avery, R.1    Bostic, R.2    Calem, P.3    Canner, G.4
  • 9
    • 0040970610 scopus 로고    scopus 로고
    • Structural change in the mortgage market and the propensity to refinance
    • Bennett, Paul, Richard Peach, and Stavros Peristiani (2001). "Structural Change in the Mortgage Market and the Propensity to Refinance." Journal of Money Credit, and Banking 33, 955-975.
    • (2001) Journal of Money Credit, and Banking , vol.33 , pp. 955-975
    • Bennett, P.1    Peach, R.2    Peristiani, S.3
  • 12
    • 33748527036 scopus 로고
    • The thrift crisis, mortgage credit intermediation, and housing activity
    • Bradley, Michael; Stuart A. Gabriel, and Mark Wohar (1995). "The Thrift Crisis, Mortgage Credit Intermediation, and Housing Activity." Journal of Money, Credit, and Banking 27, 476-497.
    • (1995) Journal of Money, Credit, and Banking , vol.27 , pp. 476-497
    • Bradley, M.1    Gabriel, S.A.2    Wohar, M.3
  • 13
    • 0001899067 scopus 로고
    • Residential lending to low-income and minority families: Evidence from the 1992 HMDA data
    • Canner, Glenn B., Wayne Passmore, and Delores S. Smith (1994). "Residential Lending to Low-Income and Minority Families: Evidence from the 1992 HMDA Data." Federal Reserve Bulletin 80, 79-108.
    • (1994) Federal Reserve Bulletin , vol.80 , pp. 79-108
    • Canner, G.B.1    Passmore, W.2    Smith, D.S.3
  • 14
    • 0039924420 scopus 로고    scopus 로고
    • Collateral damage: Refinancing constraints and regional recessions
    • Caplin, Andrew, Charles Freeman, and Joseph Tracy (1997). "Collateral Damage: Refinancing Constraints and Regional Recessions." Journal of Money, Credit, and Banking 29, 496-516.
    • (1997) Journal of Money, Credit, and Banking , vol.29 , pp. 496-516
    • Caplin, A.1    Freeman, C.2    Tracy, J.3
  • 17
    • 33748535279 scopus 로고    scopus 로고
    • U.S. Department of Housing and Urban Development, Office of Policy Development and Research
    • Cotterman, Robert F. (2001). Neighborhood Effects in Mortgage Default Risk. U.S. Department of Housing and Urban Development, Office of Policy Development and Research.
    • (2001) Neighborhood Effects in Mortgage Default Risk
    • Cotterman, R.F.1
  • 18
    • 0001509440 scopus 로고    scopus 로고
    • Why are hispanic- and Asian-American homeownership rates so low? Immigration and other factors
    • Coulson, Edward (1999). "Why are Hispanic- and Asian-American Homeownership Rates So Low? Immigration and Other Factors." Journal of Urban Economics 45, 209-227.
    • (1999) Journal of Urban Economics , vol.45 , pp. 209-227
    • Coulson, E.1
  • 19
    • 14944353416 scopus 로고    scopus 로고
    • Implications of stratified sampling for fair lending binary logit models
    • Clarke, Judith A. and Marsha Courchane (2005). "Implications of Stratified Sampling for Fair Lending Binary Logit Models." Journal of Real Estate Finance and Economics 30, 5-31.
    • (2005) Journal of Real Estate Finance and Economics , vol.30 , pp. 5-31
    • Clarke, J.A.1    Courchane, M.2
  • 21
    • 0008766361 scopus 로고    scopus 로고
    • Specification analysis of affine term structure models
    • Dai, Qiang, and J. Singleton Kenneth (2000). "Specification Analysis of Affine Term Structure Models." Journal of Finance 15, 1943-1978.
    • (2000) Journal of Finance , vol.15 , pp. 1943-1978
    • Dai, Q.1    Singleton Kenneth, J.2
  • 22
    • 23844538431 scopus 로고    scopus 로고
    • Woodhead behavior and the pricing of residential mortgages
    • University of Southern California
    • Deng, Yongheng, and John M. Quigley (2002). "Woodhead Behavior and the Pricing of Residential Mortgages." Lusk Center for Real Estate Working Paper Series, 2003-1005, University of Southern California.
    • (2002) Lusk Center for Real Estate Working Paper Series , vol.2003 , Issue.1005
    • Deng, Y.1    Quigley, J.M.2
  • 23
    • 0001420605 scopus 로고    scopus 로고
    • Mortgage default and low downpayment loans: The costs of public subsidy
    • Deng, Yongheng, John M. Quigley, and Robert Van Order (1996). "Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy." Regional Science and Urban Economics 26, 263-285.
    • (1996) Regional Science and Urban Economics , vol.26 , pp. 263-285
    • Deng, Y.1    Quigley, J.M.2    Van Order, R.3
  • 24
    • 18744407634 scopus 로고    scopus 로고
    • Mortgage terminations, heterogeneity and the exercise of mortgage options
    • Deng, Yongheng, John M. Quigley, and Robert Van Order (2000). "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options." Econometrica 68, 275-307.
    • (2000) Econometrica , vol.68 , pp. 275-307
    • Deng, Y.1    Quigley, J.M.2    Van Order, R.3
  • 25
    • 11244332044 scopus 로고    scopus 로고
    • Homeownership in the 1990s: Aggregate trends and racial disparities
    • Gabriel, Stuart, and Stuart Rosenthal (2005). "Homeownership in the 1990s: Aggregate Trends and Racial Disparities." Journal of Urban Economics 57, 101-127.
    • (2005) Journal of Urban Economics , vol.57 , pp. 101-127
    • Gabriel, S.1    Rosenthal, S.2
  • 26
    • 0001480680 scopus 로고
    • Credit rationing, race, and the mortgage market
    • Gabriel, Stuart, and Stuart Rosenthal (1991). "Credit Rationing, Race, and the Mortgage Market." Journal of Urban Economics 29, 371-379.
    • (1991) Journal of Urban Economics , vol.29 , pp. 371-379
    • Gabriel, S.1    Rosenthal, S.2
  • 28
    • 33644598651 scopus 로고    scopus 로고
    • The policy implications of portfolio choice in underserved mortgage markets
    • edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies
    • Goetzmann, William N., and Matthew Spiegel (2002). "The Policy Implications of Portfolio Choice in Underserved Mortgage Markets." In Low-Income Homeownership: Examining the Unexamined Goal, edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies.
    • (2002) Low-income Homeownership: Examining the Unexamined Goal
    • Goetzmann, W.N.1    Spiegel, M.2
  • 30
    • 0346824621 scopus 로고
    • Regional diversity, borrower characteristics, and mortgage prepayment
    • Hakim, Sam R. (1992). "Regional Diversity, Borrower Characteristics, and Mortgage Prepayment", Review of Financial Economics 1, 17-29.
    • (1992) Review of Financial Economics , vol.1 , pp. 17-29
    • Hakim, S.R.1
  • 31
    • 84986384762 scopus 로고
    • Flexible parametric estimation of durationduration and competing risk models
    • Han, Aaron K., and Jerry A. Hausman (1990). "Flexible Parametric Estimation of Durationduration and Competing Risk Models." Journal of Applied Econometrics 5, 1-28.
    • (1990) Journal of Applied Econometrics , vol.5 , pp. 1-28
    • Han, A.K.1    Hausman, J.A.2
  • 33
    • 0000301349 scopus 로고
    • An overview of option-theoretic pricing of mortgages
    • Kau, James B., and Donald C. Keenan (1995). "An Overview of Option-Theoretic Pricing of Mortgages." Journal of Housing Research 6, 217-244.
    • (1995) Journal of Housing Research , vol.6 , pp. 217-244
    • Kau, J.B.1    Keenan, D.C.2
  • 35
    • 0009941825 scopus 로고
    • Racial and ethnic disparities in mortgage prepayment
    • Kelly, Austin (1995). "Racial and Ethnic Disparities in Mortgage Prepayment." Journal of Housing Economics 4, 350-372.
    • (1995) Journal of Housing Economics , vol.4 , pp. 350-372
    • Kelly, A.1
  • 36
    • 0040581786 scopus 로고    scopus 로고
    • Another look at the role of borrower characteristics in predicting mortgage prepayments
    • LaCour-Little, Michael (1999). "Another Look at the Role of Borrower Characteristics in Predicting Mortgage Prepayments." Journal of Housing Research 10, 45-60.
    • (1999) Journal of Housing Research , vol.10 , pp. 45-60
    • LaCour-Little, M.1
  • 38
    • 0242501852 scopus 로고    scopus 로고
    • How common is housing discrimination? Improving on traditional measures
    • Ondrich, Jan, Stephen L. Ross, and John Yinger (2000). "How Common is Housing Discrimination? Improving on Traditional Measures." Journal of Urban Economics 47, 470-500.
    • (2000) Journal of Urban Economics , vol.47 , pp. 470-500
    • Ondrich, J.1    Ross, S.L.2    Yinger, J.3
  • 39
    • 0035640375 scopus 로고    scopus 로고
    • Competing risks of mortgage prepayment: Who refinances, who moves, and who defaults?
    • Pavlov, Audrey D. (2000). "Competing Risks of Mortgage Prepayment: Who Refinances, Who Moves, and Who Defaults?" Journal of Real Estate Finance and Economics 23, 185-212.
    • (2000) Journal of Real Estate Finance and Economics , vol.23 , pp. 185-212
    • Pavlov, A.D.1
  • 40
    • 0035181015 scopus 로고    scopus 로고
    • Race, immigrant status, and housing tenure choice
    • Painter, Gary, Stuart A. Gabriel, and Dowell Myers (2001). "Race, Immigrant Status, and Housing Tenure Choice." Journal of Urban Economics, 49:1, 150-167.
    • (2001) Journal of Urban Economics , vol.49 , Issue.1 , pp. 150-167
    • Painter, G.1    Gabriel, S.A.2    Myers, D.3
  • 41
    • 0034417251 scopus 로고    scopus 로고
    • Credit history and the FHA-conventional choice
    • Pennington-Cross, Anthony, and Joseph Nichols (2000). "Credit History and the FHA-Conventional Choice." Real Estate Economics 28, 307-336.
    • (2000) Real Estate Economics , vol.28 , pp. 307-336
    • Pennington-Cross, A.1    Nichols, J.2
  • 43
    • 0345833742 scopus 로고    scopus 로고
    • Eliminating credit barriers to increase homeownership: How far can we go?
    • edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies
    • Rosenthal, Stuart S. (2002). "Eliminating Credit Barriers to Increase Homeownership: How Far Can We Go?" In Low-Income Homeownership: Examining the Unexamined Goal, edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies.
    • (2002) Low-income Homeownership: Examining the Unexamined Goal
    • Rosenthal, S.S.1
  • 45
    • 49049086749 scopus 로고    scopus 로고
    • The performance of low income and minority mortgages
    • edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies
    • Van Order, Robert, and Peter Zom (2002). "The Performance of Low Income and Minority Mortgages." In Low-Income Homeownership: Examining the Unexamined Goal, edited by Nicolas P. Retsinas and Eric S. Belsky. Washington D.C.: Brookings Institution Press and Harvard University Joint Center for Housing Studies.
    • (2002) Low-income Homeownership: Examining the Unexamined Goal
    • Van Order, R.1    Zom, P.2
  • 46
    • 33748543101 scopus 로고
    • Risk structures and the distribution of benefits within the FHA home mortgage insurance program
    • Von Furstenberg, George M. (1970). "Risk Structures and the Distribution of Benefits within the FHA Home Mortgage Insurance Program." Journal of Money, Credit, and Banking 2, 303-322.
    • (1970) Journal of Money, Credit, and Banking , vol.2 , pp. 303-322
    • Von Furstenberg, G.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.