The riskiness of outstanding mortgages in the United States, 1999–2019
衡量了1999至2019年美国所有未偿抵押贷款的信用风险，发现贷款终止通过再融资活动抵消了新发放贷款的风险，并举例说明住房可负担再融资计划虽增加了新发放贷款风险但降低了整体风险。
Abstract This article introduces measures of credit risk for all outstanding mortgages in the United States between 1999 and 2019. Terminations play a fundamental role in offsetting risk introduced by new originations because of refinance activity and the often dual nature of home buyers as concurrent sellers. To illustrate these concepts in a policy setting, I show that the Home Affordable Refinance Program increased origination risk metrics but reduced overall risk due to associated terminations of even riskier loans. In addition to these flow dynamics, amortization, loan age, collateral appreciation, and prior selection drive changes to portfolio‐level risk.