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