Subprime and Prime Mortgages – Loss Distributions

Anthony Pennington-Cross

No 03-01, FHFA Staff Working Papers from Federal Housing Finance Agency

Abstract: This paper links the probabilities of default and prepayments to the distribution of losses associated with a synthetic portfolio of Fannie Mae and Freddie Mac mortgages randomly samples from 30-year fixed rate prime and subprime mortgages. The simulations exploit historical relationships found between mortgage characteristics and economic conditions in time and space as estimated in a competing risk conditional default and prepayment hazard model and a loss given default model.

Pages: 35 pages
Date: 2003-06
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Citations: View citations in EconPapers (6)

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