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Activity Number: 141
Type: Contributed
Date/Time: Monday, August 10, 2015 : 8:30 AM to 10:20 AM
Sponsor: Section on Risk Analysis
Abstract #315620 View Presentation
Title: Measuring Total Mortgage Market Credit Risk
Author(s): Douglas McManus*
Companies: Freddie Mac
Keywords: mortgages ; credit cycles ; credit risk ; value-at-risk
Abstract:

This paper proposes two measures of credit risk for the population of outstanding mortgages. The first uses an average ex ante default probability to characterize risk, the second uses the unexpected loss generated by the asymptotic single factor risk (ASFR) model, a probabilistic model of portfolio risk. Both approaches show that average market-wide expected default rate and the unexpected loss per dollar of outstanding mortgage balances were roughly constant during the 2002-2006 boom in US house prices.

Authors who are presenting talks have a * after their name.

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