We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

Motivated by the variety of bank risk proxies, our analysis reveals that nonperforming assets are a well …-suited complement to the Z-score in studies of bank risk. …

The 2008 credit crisis came as a complete surprise to most financial practitioners and academics. As risk models had … significant drop in the stock market, lower risk-free interest rates, and a strong increase in credit spreads. Second, the risk … is due to the changing importance of two sources: monetary shocks leading to a positive stock-bond correlation, and risk …

misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … Sachs presentation to its Board highlights factors that enhanced the risk of default in 2006-2007. Review of a select sample … associates with an increased risk of default. These disclosures suggest that the risk of default increased step wise beginning in …