Residential mortgage credit risk is increasingly global. Reinsurance, structured credit, and multinational financial institutions now connect housing finance systems that were once assessed largely within national boundaries. For global reinsurers and credit risk transfer investors, the practical challenge is comparability: familiar labels—default, loss, recovery, mortgage insurance—often describe materially different mechanisms across jurisdictions, with direct implications for loss timing, tail outcomes, and capital efficiency.
This paper introduces a concept-level framework for comparing how mortgage credit losses emerge and are transmitted across markets. Rather than treating each country as an isolated case study, we focus on five consistent dimensions that shape loss transmission in any jurisdiction: borrower capacity and underwriting, collateral and house price dynamics, loan and product design, legal and policy differences, and the mechanisms that allocate losses across stakeholders.
Using the United States as a reference system, we illustrate how the framework applies to two mature non-U.S. markets, highlighting where core drivers are shared and where local features require disciplined translation. This paper is the first in a series that will progressively deepen Milliman’s analytical approach to specific markets, with subsequent installments developing jurisdiction-specific insights that inform how we extend our modeling capabilities.
Milliman supports mortgage-related risk transfer and reinsurance activity globally. M-PIRe—Mortgage Platform for Investments and Reinsurance—provides the structural foundation for quantifying mortgage credit risk across a range of reinsurance structures. As Milliman expands its non-U.S. analytics, this paper series will document the development of our cross-border approach—translating the framework introduced here into market-specific tools and methodologies. This paper draws on public information and Milliman’s experience to contribute a practical starting point for cross-border mortgage credit risk assessment.