table 3c on page 27 is a doozy http://www.fhfa.gov/PolicyProgramsResearch/Research/PaperDocuments/20100913_RP_DataRiskPerformance_2001-2008_508.pdf …
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Replying to @NickTimiraos @MarkCalabria and
look closely. 1) FICO independent of LTV (or LTV indep of FICO) actually not huge effect.
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Replying to @DaveMinCA @NickTimiraos and
Obv FICO matters but only when FICO AND LTV are bad do u see the astronomical del rates.
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Replying to @DaveMinCA @NickTimiraos and
2) PLS vs. GSE and ARM vs. FRM are much huger effects. This is consistent w/ studies.
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Replying to @DaveMinCA @NickTimiraos and
No one is saying FICO or LTV don't matter. Obv they do. BUT...
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Replying to @DaveMinCA @NickTimiraos and
they mattered far less than other factors (ARM, neg am, private-label) in past crisis.
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Replying to @DaveMinCA @dkmin and
You can have most toxic broker IO, neg am ARM, & high DTI. But if 50 LTV they are fine.
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Replying to @TheSamKhater @NickTimiraos and
sample size of 0. but i agree w/ ur broader pt. not saying LTV irrelevant.
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Replying to @DaveMinCA @dkmin and
40 years of default literature repeatedly shows centrality of leverage.
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Replying to @TheSamKhater @dkmin and
Short post about long term leverage trend. http://www.corelogic.com/blog/authors/sam-khater/2015/01/ability-to-leverage-drives-foreclosure-risk.aspx#.V7Zo9vT3anM …
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