講演会（アブデュラー・ヤヴァス教授）開催のお知らせ（法務研究科）

Abdullah Yavas教授(ウィスコンシン大学マディソン校ビジネススクール教授、米国不動産都市経済学会長(AREUEA: American Real Estate and Urban Economics Association))

テーマ：Misreporting of Second Liens in Portfolio Mortgages and Privately Securitized Mortgages

概要：Using a unique nationwide mortgage servicing dataset, this paper investigates the underreporting of second liens in both portfolio mortgages and privately securitized mortgages. We document that over 27% of portfolio loans and over 33% of privately securitized loans have second liens, and more than 40% of those second liens are underreported. Loans with misreported second liens have about 90% higher chance of default and incur about 90% higher loan losses in relative terms. Lenders seem to know the existence of the second liens in portfolio loans and intentionally misreport second liens with higher second lien LTV ratios and associated with risky first mortgages. Sold loans ex post have lower misreporting rate than observably similar portfolio loans. The effect is especially strong for loans that are subject to tighter screening such as low documentation loans and loans that are harder to sell. In addition, we offer evidence that the lender-MBS servicer affiliation also plays a role in misreporting.

言語：英語

主催：中央大学大学院法務研究科、日本不動産金融工学学会(JAREFE)

共催：日本金融・証券計量・工学学会(JAFEE)

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