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Interest Rate Risk, Prepayment Risk and Banks’ Securitization of Mortgages

Xiao, Zhanbing - 2021

jumbo mortgages, which can not be securitized through Fannie Mae and Freddie Mac. Moreover, household mortgage refinancing …

Persistent link: https://www.econbiz.de/10013240151

commercial mortgage-backed securities

Eichholtz, Piet; Ongena, Steven; Yönder, Erkan - 2019

Comparing banks to non-bank lenders, we investigate whether the geographical distance between lenders, borrowers and their properties is reflected in the pricing of US mortgages that were included in US CMBS pools during the 2000 to 2017 period. The difference in loan spread when bank-borrower...

Persistent link: https://www.econbiz.de/10012134672

Brož, Václav; Kočenda, Evžen - 2019

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …

Persistent link: https://www.econbiz.de/10012061369

Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints

Curcio, Domenico - 2011

Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even more central in banking than in the past: banks are spurred to develop risk-adjusted measures, to avoid wasteful customers' cross-subsidization and support the value creation...

Persistent link: https://www.econbiz.de/10013131209

Does borrowing from banks cost more than borrowing from the market?

Schwert, Michael - 2018

This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date. After accounting for seniority, lenders earn a large premium relative to the bond-implied credit spread. In...

Persistent link: https://www.econbiz.de/10011968916

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German …-trigger hypothesis of mortgage defaults. In order to analyse the possible credit losses stemming from residential mortgage lending we … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …