mortgages that underlie the MBS no longer share in the prepayment risk of the securities, thereby increasing incentives to …In this paper, we document that mortgage-backed securities (MBS) held by the Federal Reserve exhibit faster principal … prepayment rates than MBS held by the rest of the market. Next, we show that this stylized fact persists even when controlling …

default risk, which account for borrowing and repayment behavior in both markets. In the student loan market, the government … student loan debt did not affect much the default risk in the credit card market during normal times, but significantly …We analyze the interactions between two different forms of unsecured credit and their implications for default behavior …

This paper assesses the role that monetary policy plays in the decision to default using a General Equilibrium model … of which depends on monetary policy. The decision to default is endogenous and depends on the relative value of the … collateral to face value of the loan. Default results in foreclosure, higher borrowing costs, inefficient investment and a …

so does the riskiness of the pool of borrowers, leading to higher default rates in the private market for student loans …

We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been … imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be … higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms. …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …

Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …