A Note on Mortgage Risk: Default vs. Loss Rates
重新审视贷款价值比对抵押贷款风险的影响，发现它不仅影响违约率，还显著影响违约贷款的损失率，且损失率贡献了总影响的13%至20%。
This note reexamines the role of the loan‐to‐value ratio on mortgage risk. Whereas previous studies have focused on the default rate as a function of this term, this study considers the additional effect on the loss rate of defaulted loans. Because the dollar loss per amount originated is the product of the default rate and the loss rate on defaulted loans, the impact of the loan‐to‐value ratio on both the default and loss rates is crucial to explaining the impact of the loan‐to‐value ratio on mortgage risk. I find that both rates are significantly positively related to loan‐to‐value ratio and that the loss rate accounts for between 13% and 20% of total loan‐to‐value impact.