Semivariance of Property Value Estimates as a Determinant of Default Risk
研究了房产估值不确定性中的半方差与住房抵押贷款违约风险的关系，发现估值高于近期类似房产售价的贷款违约风险更高，而方差指标则不显著。
Standard practice in the residential mortgage underwriting industry is to estimate collateral values via independent appraisals conducted by third parties. This paper empirically examines the role of property value ( i.e. , appraisal) uncertainty as a determinant of default on residential mortgage loans. Based upon an analysis of 1,428 residential loans drawn from the portfolio of a national mortgage lender, we find evidence that semivariance in property value uncertainty is related to default risk. Specifically, subject properties that are valued above the sales price of recently sold “similar and proximate” properties show evidence of greater default risk. Interestingly, a variance (range) measure of property value uncertainty is not significantly related to default risk.