As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option is in the money by some specific amount. Our analysis: tests the extent to which the option approach can explain default and prepayment...

Buckley, Karaguishiyeva, Van Order, and Vecvagare analyze the structure of approaches to mortgage credit risk that are now being used in a number of OECD and transition economies. The authors' basic approach is to show how option pricing models can help measure and evaluate the risks of various...

We examine the history of U.S. mortgage as a means of illustrating the influence of different aspects of the U.S. common law system on financial development. We hypothesize that the value of common law to financial development is with respect to the flexibility that the system provides market...

This paper analyzes the performance of low income and minority mortgages (LIMMs) from a large sample of fixed rate conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In particular, we test the extent to which options...

This paper presents a simple version of the application of option based pricing models to mortgage credit risk. The approach is based on the notion that default can be viewed as exercising a put option, and that the place to look in modelling default is the extent to which the option is in the...

About half of the money that finances housing in the U.S comes from three government-related quot;Agencies:quot; two government-sponsored enterprises (GSEs): Fannie Mae and Freddie Mac, and a government owned enterprise, Ginnie Mae, that buy mortgages and securitize them and sell the securities...

The paper provides a framework for analyzing the development of securitization as a vehicle for funding loans. Broadly speaking there are two models for funding loans: the portfolio lender model, which typically involves banks or other intermediaries originating and holding the loans and funding...

Much of the attention regarding the role of housing and the economy has been concerned with traditional macroeconomic business cycle problems, such as the role of housing as a stabilizer or destabilizer in the macro economy in the quot;short run.quot; Here the focus is on the periods beyond...

As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option is in the money by some specific amount. Our analysis: tests the extent to which the option approach can explain default and prepayment...

The most important public-policy issues raised by government-sponsored enterprises (GSEs), such as Fannie Mae and Freddie Mac (Famp;F), revolve around their charters and the perception of government support that goes those charters. The perception of government support gives GSEs quot;embedded...