打印

作者

来源

JOURNAL OF URBAN ECONOMICS,Vol.99,P.79-93

语言

英文

关键字

Risk-based pricing; Mortgage contract design; SECURITIZATION; INFORMATION; MARKET

作者单位

[Tzioumis, Konstantinos] US Dept Treasury, Off Comptroller Currency, Compliance Risk Anal Div, Constitut Ctr, 400 7th St SW, Washington, DC 20219 USA. Tzioumis, K (reprint author), US Dept Treasury, Off Comptroller Currency, Compliance Risk Anal Div, Constitut Ctr, 400 7th St SW, Washington, DC 20219 USA. E-Mail: kostas.tzioumis@occ.treas.gov

摘要

This paper provides evidence for a performance differential between loans with one borrower and loans with two borrowers. We argue that the choice of observables considered during the rate adjustment process may lead to mortgage mispricing for loans with co-borrowers. Our findings offer an example of borrower-level information that mortgage lenders collect, which is not used in pricing, but is predictive of performance. Published by Elsevier Inc.