A loss severity model for residential mortgages

Journal of Fixed Income

Volumn 18, Issue 2, 2008, Pages 5-31

  Hayre, Lakhbir S ^a   Saraf, Manish ^a  

^a CITIGROUP   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 54849415254     PISSN: 10598596     EISSN: None     Source Type: Journal    
DOI: 10.3905/jfi.2008.712347     Document Type: Article

References (5)

1. Our default model is described in the companion paper, "Modeling of Mortgage Defaults," Lakhbir Hayre, et al., January 22, 2008.
2. The servicer may be the original lender or a separate company that has purchased the servicing rights from the securitization trust and has agreed to service mortgage loans on behalf of the trust. Sometimes special servicers may be assigned the task of handling a trust's foreclosed loans and REO properties. We will use the terms lender and servicer interchangeably in this article.
3. Note that this cost is not incurred for pre-foreclosure/short sale, where the borrower sells his property before going into foreclosure.
4. The U.S. Congress may soon vote on the "Emergency Ownership and Mortgage Equity Protection Act." This bill proposes giving bankruptcy judges the authority to modify mortgages on primary residences for debtors in Chapter 13 bankruptcy.
5. Our default model is described in the companion paper, "Modeling of Mortgage Defaults," Lakhbir Hayre, et al., January 22, 2008.