Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60955 
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dc.contributor.authorTracy, Josephen
dc.contributor.authorWright, Joshuaen
dc.date.accessioned2012-06-15-
dc.date.accessioned2012-08-17T14:38:30Z-
dc.date.available2012-08-17T14:38:30Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/60955-
dc.description.abstractThis paper analyzes the relationship between changes in borrowers' monthly mortgage payments and future credit performance. This relationship is important for the design of an internal refinance program such as the Home Affordable Refinance Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers' monthly mortgage payments for a large sample of prime adjustable-rate mortgages. Applying a 26 percent average monthly payment reduction that we estimate would result from refinancing under HARP, we find that the cumulative five-year default rate on prime conforming adjustable-rate mortgages with loan-to-value ratios above 80 percent declines by 3.8 percentage points. If we assume an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points per dollar of balance for mortgages that refinance under HARP.en
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x562en
dc.subject.jelG21en
dc.subject.jelG18en
dc.subject.jelR51en
dc.subject.ddc330en
dc.subject.keywordrefinancingen
dc.subject.keyworddefaulten
dc.titlePayment changes and default risk: The impact of refinancing on expected credit losses-
dc.typeWorking Paperen
dc.identifier.ppn717766667en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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