We survey the literature on securitization and lay out a research program for its open questions. Securitization is the … markets. Securitization has grown from a small amount in 1990 to a pre-crisis issuance amount that makes it one of the largest … capital markets. In 2005 the amount of non-mortgage asset-backed securities issued in U.S. capital markets exceeded the amount …

Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans …

that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …

We examine whether rating agencies (Moody's, S&P, and Fitch) reward large issuers of mortgage-backed securities, who …

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS …

specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and … refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater … refinancing activity and lower rates on new mortgages. However, this effect is dampened in counties with concentrated mortgage …

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 …