means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …

done to stop it. We use an economic model to focus on two key decisions: the borrower's choice to default on a mortgage and … illustrate that unaffordable loans, defined as those with high mortgage payments relative to income at origination, are unlikely … for the low number of modifications to date than contract frictions related to securitization agreements between servicers …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational … predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document … how rating agencies assign credit ratings to mortgage-backed securities, and outline how these agencies monitor the …

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …

We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial …% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26% to …-modification default rates by 9% (3.5% in absolute terms). Our findings support the view that frictions introduced by securitization create …

Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a …