Regime changes in sub-prime margins under the US housing bubble
Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006. For ex...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2009
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/2759
- Acceso en línea:
- https://repositorio.escuelaing.edu.co/handle/001/2759
https://repositorio.escuelaing.edu.co/
- Palabra clave:
- Hipotecas - Estados Unidos
Créditos
Préstamos
Préstamos hipotecarios
Mortgages - United States
Credits
Loans
Mortgage loans
- Rights
- closedAccess
- License
- http://purl.org/coar/access_right/c_14cb
| Summary: | Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006. For example, an identical loan, but having different vintages is shown to have significantly lower premiums in 2005 than in 2003. Strikingly, for a given credit risk, estimation results show a premium reduction of 60 basis points in sub-prime originations from 2003 to 2005. |
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