TY - JOUR T1 - Cause and Effect: <em>The Role of Loan-Level Mortgage Characteristics in RMBS Losses</em> JF - The Journal of Structured Finance SP - 114 LP - 125 DO - 10.3905/jsf.2011.17.2.114 VL - 17 IS - 2 AU - David Lehman II AU - Tyler Simpson AU - Florin Nedelciuc Y1 - 2011/07/31 UR - https://pm-research.com/content/17/2/114.abstract N2 - 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 ER -