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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
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 … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …
Persistent link: https://www.econbiz.de/10003806732
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Securitization of mortgage debt, domestic lending, and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - In: The Canadian journal of economics 45 (2012) 2, pp. 493-508
Persistent link: https://www.econbiz.de/10009572456
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2008 - Dec. 2008
Persistent link: https://www.econbiz.de/10003804136
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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016
Persistent link: https://www.econbiz.de/10011457153
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Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016
Persistent link: https://www.econbiz.de/10011481947
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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities
Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - In: The review of financial studies 31 (2018) 3, pp. 1132-1183
Persistent link: https://www.econbiz.de/10011925304
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Effective and empirical durations of mortgage securities
Hayre, Lakhbir - In: The journal of fixed income 6 (1997) 4, pp. 17-33
Persistent link: https://www.econbiz.de/10001218361
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Modeling latent variables in economics and finance
Bluteau, Keven - 2019
The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...
Persistent link: https://www.econbiz.de/10012055679
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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371