Abstract
Executive Summary. Delinquency risk is a major area of concern to mortgage lenders and underwriters of Mortgage-backed Securities (MBS). Utilizing the hazard function approach, this paper provides an analysis of the characteristics and duration of delinquency risk of residential adjustable-rate mortgages (ARMs). Results show that mortgages with average ages of around ten and twelve years have the greatest likelihood of going into delinquency. Results also show that lenders' emphasis on borrower characteristics has been misplaced. Instead, uncontrollable mortgage-specific and macroeconomic characteristics are more significant in affecting delinquency incidence. This critically impairs lenders' ability to mitigate delinquency risk in their mortgage portfolio and hinders MBS underwriters' attempts to package good quality mortgages for securitization.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
