Because homeownership represents the largest investment many individuals make, and the risks of competing mortgage products are not well understood, we develop a framework to quantify credit risks of mortgage products. We use simulations to examine the default rates of five types of mortgage...

The main objective of this paper is to lay out a methodology for optimal sizing, or subordination, and pricing of the credit-sensitive Residential Mortgage Backed Securities (RMBS). To that end, we combine a Monte Carlo simulation framework with a model of cash flow waterfalls across multiple...

[abstract missing - contribution appeared in the programme]

In the literature on microeconomics regarding tenure choice documentation, house price is usually viewed as one of the most important parameters. Taiwan experienced very dramatic real estate cycles in the past several decades. However, the homeownership rates looked quite stable and consistently...

This paper investigates the causality relationship between sale price and trading volume under housing presale system by using the data of existing house price, presale house price, trading volume, and the number of new construction from 1993Q1 to 2010Q4 in four spatial housing submarkets,...