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"Understanding the Subprime Mortgage Crisis"

"Understanding the Subprime Mortgage Crisis",Demyanyk Yuliya,Van Hemert Otto

"Understanding the Subprime Mortgage Crisis"   (Citations: 89)
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Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and house price appreciation since origination. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainablegrowth leads to the collapse of the market. Problems could have been detected long before the crisis, but they were masked by high house price appreciation between 2003 and 2005.
Published in 2008.
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    • ...When prices for accommodation reduce, about 50% of mortgage borrowers in the United Kingdom, where the average LTV index is close to 90%, are faced with collateral constraints, because the easy access to mortgages prompted them to use purchased property as a collateral for new loans [6, 7]. The very high LTV values of subprime mortgages in the United States are considered as a factor that accelerated the collapse of this segment of the ...
    • ...If this premium was 0.1% in 2001, by 2006, it had increased up to 0.3% [7]...

    M. I. Stolbov. Crisis in the Russian mortgage market through the lens of financial ac...

    • ...1 See Greenlaw et al. (2008), Demyanyk and Van Hemert (2008) and International Monetary Fund (2008)...

    Edouard Challeet al. Bubbles and Self-Fulfilling Crises

    • ...2 See Demyanyk and Van Hemert [5] and Demyanyk [6] for a more detailed description and discussion...
    • ...Demyanyk and Van Hemert [5] analyzed the subprime crisis empirically, utilizing a duration...
    • ...Demyanyk and Van Hemert [5] show evidence that the subprime mortgage crisis in the United...
    • ...Moreover, not only have Demyanyk and Van Hemert [5] shown...
    • ...ndings of Dell’Ariccia et al. [18] and Demyanyk and Van Hemert [5], it appears the United States...
    • ...is identied (Demyanyk and Van Hemert [5] identify such a process for the U.S...

    Yuliya Demyanyket al. Financial crises and bank failures: A review of prediction methods

    • ...Whe ther in the case of the subprime crisis it was really not possible to predict the changes in delinquency behavior on the basis of data is debatable; see for instance Demyanyk and Van Hemert (2009)...

    Jeroen Kerkhofet al. Model risk and capital reserves

    • ...Studies have documented that bank lending standards fell after this rule change (Demyanyk and van Hemert, 2008...

    David G. Tarr. The political, regulatory, and market failures that caused the US fina...

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