Equity Dilution: An Alternative Perspective on Mortgage Default
提出股权稀释概念，即借款人在贷款发放后通过次级留置权增加杠杆，导致传统房价指数无法准确衡量股权变化，并利用1998年消费者金融调查数据估计次级留置权概率，结合贷款绩效数据分析其对违约风险的影响。
Empirical research on mortgage default in the single‐family market has focused on the value of the borrower's put option using house price indices to estimate contemporaneous loan‐to‐value ratio or the probability of negative equity. But since the borrower possesses the option to increase leverage by taking on additional debt secured by junior liens subsequent to loan origination (a phenomenon termed here equity dilution ), even a perfect house price adjustment cannot be expected to accurately measure changes in borrower equity over time. Since junior liens are generally unobservable to senior debt holders, proxies are required in empirical applications. This paper employs an independent estimate of junior lien probability developed from the 1998 Survey of Consumer Finances combined with loan level mortgage performance data to examine the role junior liens play in increasing default risk.