The Subprime Virus

Sumit Agarwal; Brent W. Ambrose; Yildiray Yildirim

doi:10.1111/1540-6229.12108

The Subprime Virus

Sumit Agarwal, Brent W. Ambrose, Yildiray Yildirim

Risk Management

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

We examine the correlation between prime mortgage default risk and the introduction of subprime mortgages in a local area. We motivate our analysis with a model of a default contagion effect that spreads the effect of a mortgage foreclosure from one property to surrounding properties. Through numerical analysis, we demonstrate the effect of subprime mortgage originations to the risk of prime mortgages. Finally, we offer empirical support for our model by examining the spatial variation in MSA prime mortgage default rates and the level of subprime mortgage activity.

Original language	English (US)
Pages (from-to)	891-915
Number of pages	25
Journal	Real Estate Economics
Volume	43
Issue number	4
DOIs	https://doi.org/10.1111/1540-6229.12108
State	Published - Dec 1 2015

All Science Journal Classification (ASJC) codes

Accounting
Finance
Economics and Econometrics

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abstract = "We examine the correlation between prime mortgage default risk and the introduction of subprime mortgages in a local area. We motivate our analysis with a model of a default contagion effect that spreads the effect of a mortgage foreclosure from one property to surrounding properties. Through numerical analysis, we demonstrate the effect of subprime mortgage originations to the risk of prime mortgages. Finally, we offer empirical support for our model by examining the spatial variation in MSA prime mortgage default rates and the level of subprime mortgage activity.",

author = "Sumit Agarwal and Ambrose, {Brent W.} and Yildiray Yildirim",

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The Subprime Virus

Abstract

All Science Journal Classification (ASJC) codes

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