PT  - JOURNAL ARTICLE
AU  - David Lehman II
AU  - Tyler Simpson
AU  - Florin Nedelciuc
TI  - Cause and Effect: <em>The Role of Loan-Level Mortgage Characteristics in RMBS Losses</em>
AID  - 10.3905/jsf.2011.17.2.114
DP  - 2011 Jul 31
TA  - The Journal of Structured Finance
PG  - 114--125
VI  - 17
IP  - 2
4099  - https://pm-research.com/content/17/2/114.short
4100  - https://pm-research.com/content/17/2/114.full
AB  - 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