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  • JBF-D-14-00913R3

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 71, 2016 DOI: 10.1016/j.jbankfin.2016.05.005

    Accepted author manuscript, 659 KB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

  • reducing the impact of real estate foreclosure

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 71, 2016 DOI: 10.1016/j.jbankfin.2016.05.005

    Accepted author manuscript, 1.04 MB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages

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Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages. / Wojakowski, Rafal; Ebrahim, Shahid; Shackleton, Mark Broughton.
In: Journal of Banking and Finance, Vol. 71, 10.2016, p. 62-74.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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APA

Vancouver

Wojakowski R, Ebrahim S, Shackleton MB. Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages. Journal of Banking and Finance. 2016 Oct;71:62-74. Epub 2016 Jun 24. doi: 10.1016/j.jbankfin.2016.05.005, http://www.sciencedirect.com/science/article/pii/S0378426616300760

Author

Wojakowski, Rafal ; Ebrahim, Shahid ; Shackleton, Mark Broughton. / Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages. In: Journal of Banking and Finance. 2016 ; Vol. 71. pp. 62-74.

Bibtex

@article{dcb7dc5c1c35412185504d1ad714eeb4,
title = "Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages",
abstract = "We employ Amortizing Participation Mortgage (APM) to offer a novel ex post renegotiation method of a foreclosure. APM belongs to the family of home loan credit facilities advocated in the Dodd-Frank Wall Street Reform and Consumer Protection Act 2010. In our framework, APMs reduce the endemic agency costs of debt by improving affordability. These benefits increase the demand for real estate in bust times and reduce fragility of the financial system thereby preventing foreclosures. We evaluate APMs in a stochastic control framework and provide solutions for an optimal amortization schedule. We generalize our approach to partially amortizing and commercial mortgages which encompass balloon payments. Finally, we provide concrete numerical examples of home loan modifications. We also offer detailed sensitivity analysis to market parameters such as house price volatility and interest rates.",
keywords = "Dodd-Frank Act, Foreclosure, Home loan modifications, Prepayment, Default, Partial amortization, Commercial mortgage, Residential mortgage, Shared income",
author = "Rafal Wojakowski and Shahid Ebrahim and Shackleton, {Mark Broughton}",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 71, 2016 DOI: 10.1016/j.jbankfin.2016.05.005 ",
year = "2016",
month = oct,
doi = "10.1016/j.jbankfin.2016.05.005",
language = "English",
volume = "71",
pages = "62--74",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages

AU - Wojakowski, Rafal

AU - Ebrahim, Shahid

AU - Shackleton, Mark Broughton

N1 - This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 71, 2016 DOI: 10.1016/j.jbankfin.2016.05.005

PY - 2016/10

Y1 - 2016/10

N2 - We employ Amortizing Participation Mortgage (APM) to offer a novel ex post renegotiation method of a foreclosure. APM belongs to the family of home loan credit facilities advocated in the Dodd-Frank Wall Street Reform and Consumer Protection Act 2010. In our framework, APMs reduce the endemic agency costs of debt by improving affordability. These benefits increase the demand for real estate in bust times and reduce fragility of the financial system thereby preventing foreclosures. We evaluate APMs in a stochastic control framework and provide solutions for an optimal amortization schedule. We generalize our approach to partially amortizing and commercial mortgages which encompass balloon payments. Finally, we provide concrete numerical examples of home loan modifications. We also offer detailed sensitivity analysis to market parameters such as house price volatility and interest rates.

AB - We employ Amortizing Participation Mortgage (APM) to offer a novel ex post renegotiation method of a foreclosure. APM belongs to the family of home loan credit facilities advocated in the Dodd-Frank Wall Street Reform and Consumer Protection Act 2010. In our framework, APMs reduce the endemic agency costs of debt by improving affordability. These benefits increase the demand for real estate in bust times and reduce fragility of the financial system thereby preventing foreclosures. We evaluate APMs in a stochastic control framework and provide solutions for an optimal amortization schedule. We generalize our approach to partially amortizing and commercial mortgages which encompass balloon payments. Finally, we provide concrete numerical examples of home loan modifications. We also offer detailed sensitivity analysis to market parameters such as house price volatility and interest rates.

KW - Dodd-Frank Act

KW - Foreclosure

KW - Home loan modifications

KW - Prepayment

KW - Default

KW - Partial amortization

KW - Commercial mortgage

KW - Residential mortgage

KW - Shared income

U2 - 10.1016/j.jbankfin.2016.05.005

DO - 10.1016/j.jbankfin.2016.05.005

M3 - Journal article

VL - 71

SP - 62

EP - 74

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -