@article {Lehman114, author = {David Lehman II and Tyler Simpson and Florin Nedelciuc}, title = {Cause and Effect: The Role of Loan-Level Mortgage Characteristics in RMBS Losses }, volume = {17}, number = {2}, pages = {114--125}, year = {2011}, doi = {10.3905/jsf.2011.17.2.114}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The recent credit crisis has sparked a debate among market participants as to the causes and sources of unprecedented defaults and losses in residential mortgage-backed securities. Conventional wisdom has long held that loans with certain risk characteristics have a higher likelihood of future default. However, an examination of performance data for a select number of representative subprime securities originated at the top of the credit boom in 2006 paints a different picture. This analysis finds that macroeconomic factors, such as house price depreciation and unemployment, among others, clearly outweighed risks inherent in loan-level characteristics.TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans}, issn = {1551-9783}, URL = {https://jsf.pm-research.com/content/17/2/114}, eprint = {https://jsf.pm-research.com/content/17/2/114.full.pdf}, journal = {The Journal of Structured Finance} }