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Douglas McManus

Freddie Mac



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141 – Methods in Financial Risk Assessment

Measuring Total Mortgage Market Credit Risk

Sponsor: Section on Risk Analysis
Keywords: mortgages, credit cycles, credit risk, value-at-risk

Douglas McManus

Freddie Mac

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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