We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the … period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage … underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

This is a case study of the valuation of Chinatrust Real Estate Mortgage Backed Securities (RMBS). It constitutes of 17 … mortgage loan groups, and four kinds of securities issued by the Deutsche Bank, Taipei Branch. In this paper, the pricing of …

This work represents a first attempt to price European commercial mortgage backed securities (CMBS) and our results are …, mortgage and property-related variables in the pricing of European CMBS, along with macro-economic and financial factors used …, followed by real estate and mortgage market conditions. As floater coupon tranches tend to be riskier and exhibit higher …