{"id":942,"date":"2018-08-23T08:30:29","date_gmt":"2018-08-23T08:30:29","guid":{"rendered":"http:\/\/coolabahcap.wpengine.com\/?p=942"},"modified":"2019-10-28T07:22:58","modified_gmt":"2019-10-28T07:22:58","slug":"a-new-hedonic-approach-to-measuring-mortgage-default-risk","status":"publish","type":"post","link":"https:\/\/coolabahcapital.com\/en-us\/blog\/2018\/08\/23\/a-new-hedonic-approach-to-measuring-mortgage-default-risk\/","title":{"rendered":"A new hedonic approach to measuring mortgage default risk"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"942\" class=\"elementor elementor-942\" data-elementor-post-type=\"post\">\n\t\t\t\t\t\t<section data-particle_enable=\"false\" data-particle-mobile-disabled=\"false\" class=\"elementor-section elementor-top-section elementor-element elementor-element-070b924 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"070b924\" data-element_type=\"section\" data-e-type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-27c286e\" data-id=\"27c286e\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-0edf656 elementor-widget elementor-widget-text-editor\" data-id=\"0edf656\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>Measuring and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. Yet public measures of mortgage default risk almost always use simple averages across pools of individual assets, including balance-sheet loans or indices tracking default risk across portfolios of residential mortgage-backed securities (RMBS). These approaches are, like median house price indices, afflicted by compositional biases that can lead to spurious inferences regarding the direction of default rates. Sources of bias include artificial changes in default rates attributable to: increases in the volume of new loans being written or securitised RMBS added to indices; changes in the proportion of transactions with higher loan-to-value ratios (LVRs); the introduction of less seasoned RMBS transactions with a lower weighted-average loan age; and\/or borrower characteristics that have higher probabilities of default (e.g. tilts towards investment borrowers). <a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3237169\">To address this problem, we have developed the first known hedonic regression-based indices of mortgage default risk that explicitly control for compositional biases through the models\u2019 characteristic-based independent variables.<\/a> Whereas simple average measures of default rates across securitised loan portfolios have declined in recent years, which suggests that the risk of loss has been declining, our hedonic mortgage default index implies exactly the opposite: that is, compositionally-adjusted default rates have, in fact, been increasing sharply in recent times. Read the <a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3237169\">full paper here.<\/a><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<section data-particle_enable=\"false\" data-particle-mobile-disabled=\"false\" class=\"elementor-section elementor-top-section elementor-element elementor-element-edef94d elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"edef94d\" data-element_type=\"section\" data-e-type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-ff2d8d6\" data-id=\"ff2d8d6\" data-element_type=\"column\" data-e-type=\"column\">\n\t\t\t<div class=\"elementor-widget-wrap elementor-element-populated\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-fd28a90 elementor-widget elementor-widget-image\" data-id=\"fd28a90\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img fetchpriority=\"high\" decoding=\"async\" width=\"720\" height=\"613\" src=\"https:\/\/coolabahcapital.com\/en-us\/wp-content\/uploads\/sites\/11\/2018\/08\/Hedonic-Approach-Mortgage-Default-Risk.jpg\" class=\"attachment-large size-large wp-image-943\" alt=\"\" srcset=\"https:\/\/coolabahcapital.com\/en-us\/wp-content\/uploads\/sites\/11\/2018\/08\/Hedonic-Approach-Mortgage-Default-Risk.jpg 720w, https:\/\/coolabahcapital.com\/en-us\/wp-content\/uploads\/sites\/11\/2018\/08\/Hedonic-Approach-Mortgage-Default-Risk-300x255.jpg 300w\" sizes=\"(max-width: 720px) 100vw, 720px\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"<p>Measuring and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. Yet public measures of mortgage default risk almost always use simple averages across pools of individual assets, including balance-sheet loans or indices tracking default risk across portfolios of residential mortgage-backed securities (RMBS). These approaches [&hellip;]<\/p>\n","protected":false},"author":2,"featured_media":1067,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_uag_custom_page_level_css":"","_monsterinsights_skip_tracking":false,"site-sidebar-layout":"default","site-content-layout":"default","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"default","adv-header-id-meta":"","stick-header-meta":"default","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[24],"tags":[],"class_list":["post-942","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-article"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.8 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>A new hedonic approach to measuring mortgage default risk - US | Coolabah Capital Investments<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/coolabahcapital.com\/en-us\/blog\/2018\/08\/23\/a-new-hedonic-approach-to-measuring-mortgage-default-risk\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"A new hedonic approach to measuring mortgage default risk - US | Coolabah Capital Investments\" \/>\n<meta property=\"og:description\" content=\"Measuring and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. 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and monitoring the true level of mortgage delinquencies across an economy is essential for asset pricing and financial system stability. Yet public measures of mortgage default risk almost always use simple averages across pools of individual assets, including balance-sheet loans or indices tracking default risk across portfolios of residential mortgage-backed securities (RMBS). These approaches&hellip;","_links":{"self":[{"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/posts\/942","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/comments?post=942"}],"version-history":[{"count":0,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/posts\/942\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/media\/1067"}],"wp:attachment":[{"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/media?parent=942"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/categories?post=942"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/coolabahcapital.com\/en-us\/wp-json\/wp\/v2\/tags?post=942"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}