Type
Text
Type
Dissertation
Advisor
Sanderson, Warren | Brusco, Sandro | Montgomery, Mark | Anagnostopoulos, Alexis | Xiao, Keli (Andrew).
Date
2015-12-01
Keywords
bank settlement, competing risk model, default risk, mortgage loan, survival analysis | Economics
Department
Department of Economics.
Language
en_US
Source
This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree.
Identifier
http://hdl.handle.net/11401/77433
Publisher
The Graduate School, Stony Brook University: Stony Brook, NY.
Format
application/pdf
Abstract
Since the subprime mortgage crisis, many banks agreed to pay huge sums to settle the government's accusations that they sold flawed mortgage securities in the 2008 crisis. The Bank of America, JP Morgan, Citi, Wells Fargo, and many other banks have paid a total of more than $130 billion for claims that they intentionally misled investors or were guilty of financial wrongdoing. Is there evidence to support this position and is it fair to assign equal blame to all the big banks? Here, we estimate the expected default rate based on loan characteristics reported by big banks and compare with their actual default rates. We find that, in general, big banks did worse than their predicted loan default rates based on their reported loan characteristics. Loans by the Bank of America and Countrywide not only had an extremely higher default rate than expected, they were also much worse than loans by other big banks and the base group banks. The data also shows that Wells Fargo did better than predicted for most of the years and also did better than the small banks. Our analysis supports the evidence that there should be different levels of settlement with the big banks. | 126 pages
Recommended Citation
Yang, E, "The Secret Bank Settlement: Who Was Guilty and Who Was Not?" (2015). Stony Brook Theses and Dissertations Collection, 2006-2020 (closed to submissions). 3248.
https://commons.library.stonybrook.edu/stony-brook-theses-and-dissertations-collection/3248