Sanket Korgaonkar
Crum Real Estate Fellow
Assistant Professor of Commerce (Finance Area)
McIntire School of Commerce
University of Virginia
I am an Assistant Professor of Commerce, and the Crum Real Estate Fellow, in the Finance Area at the University of Virginia (UVA). I am an Affiliate Faculty Member of the White Ruffin Byron Center for Real Estate at the University of Virginia, and the Director of the Household and Urban Finance Lab.
My research interests are in the areas of Household Finance, Mortgage Finance, Securitization, and Financial Institutions more generally. I teach Fundamentals of Real Estate Analysis in the Fall.
Prior to joining UVA, I was an Assistant Professor at Penn State's Smeal College of Business. I completed my PhD. in Finance and Real Estate at the University of California, Berkeley.
You can find my C.V. here.
UPDATES:
(4/17/2024) !NEW! I will be discussing a paper at the UNC/RCFS Conference on Market Based Solutions for Reducing Wealth Inequality at Chapel Hill, NC on April 25th, 2024.
(3/15/2024) Updated version of my paper on expected gains from mortgage renegotiation is now posted to SSRN.
(3/7/2024) I will present Labor Market Polarization and Student Debt at the Georgia Tech - Atlanta Fed Household Finance Conference (Mar 21-Mar 22, 2024)
Working Papers
Labor Market Polarization and Student Debt with Elena Loutskina (UVA) and Constantine Yannelis (Chicago)
Presented at: Commonwealth Finance Workshop 2023, West Virginia University (Bus. Econ), Aalto University (co-author presented), University of Bergen (co-author presented), Copenhagen Business School (co-author presented), University of Miami (co-author presented), GT-Atlanta Fed Household Finance Conference 2024, Financial Intermediation Research Society 2024 (scheduled), CSEF Conference on Finance Labor and Inequality Capri Italy (2024) (scheduled).
Labor market polarization (Autor and Dorn (2013)) persists into the 21st century. Labor markets in the U.S. that experience greater polarization also experience an increase in the growth rate of student debt along both the extensive and intensive margins.
Evaluating Mortgage Renegotiation Strategies: A Data-Driven Framework for Investors (Resubmitted to Management Science)
Presented at: CEPR European Conference on Household Finance 2017; Finance Down Under Conference (Melbourne, Australia) 2018; Northern Finance Association Meetings 2018, University of North Carolina-Chapel Hill
This paper offers a novel framework to quantify the expected gains from renegotiating delinquent loans, and calibrates the framework's parameters to data on delinquent residential mortgages during the Great Recession. Counterfactual analyses performed using our framework suggests that principal forbearance and extensions of the term-to-maturity can yield large expected gains while principal forgiveness is a useful tool when borrowers are deep underwater and expect house prices to decline.
This paper has been previously circulated under the title 'The Limited Benefits of Mortgage Renegotiation'.
Publications
The Agency Costs of Tranching: Evidence from RMBS, Journal of Financial Intermediation (2023) Working paper version
Multi-tiered capital structures give rise to agency costs, particularly in the setting of RMBS. Tranching increases coordination costs across investors holding varying cash flow rights and weakens monitoring of the asset managing agent.
This paper has been previously circulated under the title 'The Agency Costs of (RMBS) Tranching'.
Information in Financial Contracts: Evidence from Securitization Agreements (forthcoming, Journal of Financial and Quantitative Analysis) , with Brent Ambrose (Penn State), Yiquiang Han and Lily Shen (Clemson) | Working paper version
Using a machine-learning algorithm to characterize the similarity between pairs of Pooling and Servicing Agreements, this paper shows that differences in securitization documents are correlated with differences in the underlying pool characteristics and in the subsequent performance of the mortgages.
Partial Deregulation and Competition: Effects on Risky Mortgage Origination, Management Science (2019), with Marco Di Maggio (Harvard Business School) and Amir Kermani (UC Berkeley) | Working paper version
Exploiting the pre-emption of state anti-predatory lending laws for national (OCC-regulated) banks, we show how deregulation and competition interact. De-regulated lenders increase the origination of loans with prepayment penalties. Still-regulated lenders compete by issuing mortgages which reduce prepayment probabilities (e.g. ARMs, Negative Amortization, IO loans). Our results shed light on the consequences of the fragmented regulatory system in U.S. banking.
Older working papers
Multiple Tranches, Information Asymmetry and the Impediments to Mortgage Renegotiation
Presented at: London Business School Trans-Atlantic Doctoral Conference 2016, ABFER 2019, AREUEA National Meeting 2019
My paper 'The Agency Costs of Tranching: Evidence from RMBS' partially absorbs results from this paper.
Funding Shocks and Competition in the Mortgage Market (2018)
Competition between mortgage lenders amplifies the credit supply shock that originates in the growth of the private-label securitization market in the early to mid 2000s.