Evaluating Mortgage Renegotiation Strategies: A Data-Driven Framework for Investors
提出了一个量化违约贷款再谈判预期收益的框架，考虑了让步、贷款表现和抵押品价值的权衡，并用大衰退期间的数据校准参数，发现本金宽限和期限延长比减记和降息更有效。
This paper offers a novel framework to quantify the expected gains from renegotiating delinquent loans. The framework accounts for important trade-offs between concessions to borrowers, postdelinquency loan performance, and expected collateral values. The framework’s parameters are calibrated using data on renegotiated 30-year residential fixed-rate mortgages that went delinquent during the Great Recession. Our model-implied expected gains increase during the 2007–2009 period coinciding with an increase in the rate of loan renegotiation. Counterfactual analyses show that larger expected gains can be generated from employing principal forbearance and extensions of the term to maturity compared with principal write-downs and interest-rate reductions. On the other hand, principal write-downs can be a powerful tool when borrowers are deeply underwater. Our analyses illustrate how lenders or policymakers might deploy this framework when faced with another delinquency crisis. This paper was accepted by Tomasz Piskorski, finance. Funding: The author thanks the Fisher Center for Real Estate and Urban Economics at the University of California, Berkeley and the Center for Investors and Financial Markets at the University of Virginia for funding for this paper. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02672 .