Trends in autoionization of Rydberg states converging to the 4s threshold in the Kr-Rb⁺-Sr²⁺ isoelectonic sequence: theory and experiment

We have measured the photoabsorption spectra of the Kr-like ions Rb+ and Sr2+ at photon energies corresponding to the excitation of 4s-np resonances using, the dual laser plasma photoabsorption technique. Dramatic changes in the line profiles, with increasing ionization and also proceeding along the Rydberg series of each ion, are observed and explained by the trends in 4s-transition amplitudes computed within a framework of configuration-interaction Pauli-Fock calculations. Total photoionization cross sections show very good agreement with relative absorption data extracted from the measured spectra

The Conditional Probability of Foreclosure: An Empirical Analysis of Conventional Mortgage Loan Defaults

This paper analyzes the factors affecting the conditional probability that defaulted residential mortgage loans will foreclose. We analyze a large national sample of conventional loans, which have been in default at least once during the 1988 to 1994 period. For such loans, lenders and borrowers either individually or jointly make choices which lead to the following outcomes: (1) resumption of payments, (2) termination by prepayment, or (3) foreclosure. Our estimates of a logit model indicate that termination option values and local area economic and housing market conditions affect default resolution probabilities. Perhaps more importantly, simulations using the logit model indicate that the efficiency of the default resolution process may be substantially improved by legal and regulatory reforms. Copyright 2004 by the American Real Estate and Urban Economics Association

A note on bias resulting from imposing expedient conditions on mortgage valuation models

Journal of Housing Economics22185-198JHEC

Modeling the Conditional Probability of Foreclosure in the Context of Single-Family Mortgage Default Resolutions

Both empirical and pricing-simulation models of mortgage default focus on foreclosure in a one-step decision framework. Such models are misspecified to the extent that mortgage default and foreclosure are two separate decisions or events, where foreclosure is but one outcome of a default episode. This study examines the dynamics of mortgage borrower default episodes using a large sample of FHA-insured single-family mortgages. We estimate the influence of borrower characteristics, mortgage terms, and economic conditions on probabilities of various resolutions, highlighting under what conditions foreclosure is more likely to result from mortgage default. Copyright American Real Estate and Urban Economics Association.

European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products

Self-Selection in the Fixed-Rate Mortgage Market

This paper analyzes the effect of information asymmetry between the lender and the borrower (i.e., the borrower knows how long he will reside in his home, whereas the lender does not) on the borrower's choice among the interest rate-discount points combinations available in the fixed-rate mortgage market. The analysis shows that if the rate-points trade-off of the mortgage menu is either too steep or too flat, then all types of borrowers will choose the same loan contract from the menu. In addition, if the rate-points trade-off is not convex to the origin, then only the contracts with extreme rate-points combinations will be chosen by borrowers; all contracts with intermediate rate-points combinations are redundant and will not be chosen by any borrowers. Intermediate rate-points combination mortgage contracts would be chosen by some borrowers only if the mortgage menu were to provide a self-selection function. Several necessary conditions of a self-selection mortgage menu are depicted. Copyright American Real Estate and Urban Economics Association.