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Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
Chernov, Mikhail - 2016
We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …
Persistent link: https://www.econbiz.de/10012996380
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Mortgage risk and the yield curve
Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - 2015
Persistent link: https://www.econbiz.de/10011437596
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …
Persistent link: https://www.econbiz.de/10012978841
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …
Persistent link: https://www.econbiz.de/10012455829
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Household deleveraging and saving rates : a cross-country analysis
Bouis, Romain - 2021
Historically high household debt in several economies is calling for a deleveraging, but according to some economists, this adjustment can slow GDP growth by weighing on consumption. Using a sample of advanced and emerging market economies, this paper finds evidence of a negative relationship...
Persistent link: https://www.econbiz.de/10012796301
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Payment size, negative equity, and mortgage default
Fuster, Andreas; Willen, Paul - 2012
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …. -- mortgage finance ; delinquency ; ARMs ; Alt-A ; TrueLTV …
Persistent link: https://www.econbiz.de/10009664073
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Payment size, negative equity, and mortgage default
Fuster, Andreas; Willen, Paul - 2012 - Version of: November 10, 2012
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …
Persistent link: https://www.econbiz.de/10009684239
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Payment Size, Negative Equity, and Mortgage Default
Fuster, Andreas - 2015
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …
Persistent link: https://www.econbiz.de/10013036186
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Payment Size, Negative Equity, and Mortgage Default
Fuster, Andreas - 2013
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …
Persistent link: https://www.econbiz.de/10013077640
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Payment Size, Negative Equity, and Mortgage Default
Fuster, Andreas - 2013
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …
Persistent link: https://www.econbiz.de/10012459316