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Intra-metropolitan variation in resi...

Yang, Lihong.

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Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias./
Author:	Yang, Lihong.
Description:	100 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3596.
Contained By:	Dissertation Abstracts International65-09A.
Subject:	Urban and Regional Planning. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3145315
ISBN:	0496049208

Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias.
Yang, Lihong.

Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias. - 100 p.

Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3596.

Thesis (Ph.D.)--University of Southern California, 2004.

Using a sample of individual loans originated in the Los Angeles County, this dissertation presents an empirical analysis on the intra-metropolitan variation in prepayment risks. Simple tabulation shows that the loans originated in the underserved area have slower prepayment speed than those originated in the middle- and high-income areas. A standard prepayment model without taking into account possible unobservable factors is examined for its performance to capture the variation across different areas. Results from the statistical test on modeling residuals as well as the cash-flow-based test show that the standard model may systematically over-estimate the prepayment speed for loans originated in the underserved area and under-estimate the prepayment for those in the high-income area. The consistent deviation between the actual and predicted prepayment speeds indicates the impacts of unobserved factors.

ISBN: 0496049208Subjects--Topical Terms:

1017841
Urban and Regional Planning.

Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias.
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100 1 $a Yang, Lihong. $3 1937556
245 1 0 $a Intra-metropolitan variation in residential mortgage prepayment risks: Unobserved factors and estimation bias.
300 $a 100 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3596.
500 $a Adviser: Yongheng Deng.
502 $a Thesis (Ph.D.)--University of Southern California, 2004.
520 $a Using a sample of individual loans originated in the Los Angeles County, this dissertation presents an empirical analysis on the intra-metropolitan variation in prepayment risks. Simple tabulation shows that the loans originated in the underserved area have slower prepayment speed than those originated in the middle- and high-income areas. A standard prepayment model without taking into account possible unobservable factors is examined for its performance to capture the variation across different areas. Results from the statistical test on modeling residuals as well as the cash-flow-based test show that the standard model may systematically over-estimate the prepayment speed for loans originated in the underserved area and under-estimate the prepayment for those in the high-income area. The consistent deviation between the actual and predicted prepayment speeds indicates the impacts of unobserved factors.
520 $a Two new modeling methods are proposed to control for the unobserved factors. The first method adds area-specific dummy variables to capture their aggregate impact. Despite its improvement in reducing some estimation bias, this method has strong assumptions on constant duration dependence across the areas. The second method uses a stratified hazard model that provides flexibility to capture changing impacts of those unobserved factors.
520 $a Findings in this paper point out possible pricing bias issues arising from the use of standard prepayment model without controlling for unobserved factors and from the current origination practice where lenders ignore the measurement of prepayment risk and focus only on the default side. Borrowers from the underserved area have to pay for their relatively high default risk but do not benefit from their reduced prepayment risk. More importantly, such bias issues cannot be eliminated by simply expanding more credit into the underserved area. This study supports the arguments in prior studies that the difference in prepayment risk across different types of borrowers be addressed using a complete risk-based pricing of mortgages and mortgage-backed securities.
590 $a School code: 0208.
650 4 $a Urban and Regional Planning. $3 1017841
650 4 $a Economics, Finance. $3 626650
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710 2 0 $a University of Southern California. $3 700129
773 0 $t Dissertation Abstracts International $g 65-09A.
790 1 0 $a Deng, Yongheng, $e advisor
790 $a 0208
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3145315