The Credit Risk of Non‐Agency Mortgage Securities: Definition, Measurement and Diversification

Abstract

Seeks to define, measure and diversify house price change for the advantage of lenders and investors in the non‐agency mortgage market. Comments that the Daiwa average has been calculated for all states and the variable trend can be used to predict future trends. Indicates that the greatest risk of default arises where the property is vulnerable to price changes but inflation and amortization have not built up. Suggests that lenders and investors can use the Daiwa composite average sales prices to compose advantageous portfolios.

Citation

Youngblood (1992), "The Credit Risk of Non‐Agency Mortgage Securities: Definition, Measurement and Diversification", Journal of Property Finance, Vol. 3 No. 2. https://doi.org/10.1108/09588689210033828