a house in coastal areas may be at increasing risk of defaulting on their mortgage. Commercial banks have the ability to … Mortgage Association, commonly known as Fannie Mae, and the Federal Home Loan Mortgage Corporation, known as Freddie Mac. In … securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We …

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

amount depend on mortgage rate negatively, consistent with a prepayment-driven demand channel. This negative dependence …

delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and … information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated …

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

have the skill and expertise to build diversified pools, such as Mortgage-Backed Securities. In diversified pools, exposure … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … from mortgage-level to MBS deal-level cash flows, and observes the prices of the tranches at monthly frequency. Wildfires …

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

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 …

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the … mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial …