Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
have the skill and expertise to build diversified pools, such as Mortgage-Backed Securities. In diversified pools, exposure … from mortgage-level to MBS deal-level cash flows, and observes the prices of the tranches at monthly frequency. Wildfires … lead to higher rates of prepayment and foreclosure at the mortgage level, and larger losses during foreclosure sales. At …