Narrow search
Showing 1 - 10 of 3,146
Cover Image
The effect of large investors on asset quality : evidence from subprime mortgage securities
Adelino, Manuel; Frame, W. Scott; Gerardi, Kristopher - 2014
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010337605
Cover Image
Local Traits and Securitized Commercial Mortgage Default
An, Xudong - 2013
We expand on the standard commercial mortgage default model and create a new model by looking beyond the usual factors of option value, insolvency, property type, region, originator type, state foreclosure laws and macroeconomic measures. The new model incorporates measures of local economic...
Persistent link: https://www.econbiz.de/10013073068
Cover Image
Preface To : Subprime Mortgages, Market Impact, and Safety Nets
Watson, Ronald D. - 2009
for housing, low interest rates, innovations in mortgage lending and securitization, and a breakdown in credit quality …
Persistent link: https://www.econbiz.de/10013155454
Cover Image
Securitization and Mortgage Default
Elul, Ronel - 2015
evidence for adverse selection. The effect of securitization is strongest for prime mortgages, which have not been studied …
Persistent link: https://www.econbiz.de/10013025122
Cover Image
Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies
De Ribera Martin, Francisco de Asis - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 37-59
Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...
Persistent link: https://www.econbiz.de/10013485817
Cover Image
Assessment of Insolvency Issues for the Mortgage Originator and Trustee-Issuer in Securitisation Programs
Rajapakse, Pelma Jacinth - 2013
There are two purposes of this article. Firstly, it examines the consequences for stakeholders, if the mortgage originator or subsequent assignee of its rights, e.g. the trustee issuer, become insolvent and considers the main legal and financial risk issues that can arise in an RMBS program in...
Persistent link: https://www.econbiz.de/10013082321
Cover Image
Identifying the Effect of Securitization on Foreclosure and Modification Rates Using Early-Payment Defaults
Adelino, Manuel - 2015
securitization on the incidence of mortgage modification and foreclosure based on the early-payment default analysis performed by … low modification rates are not the result of contract frictions inherent in the mortgage securitization process …
Persistent link: https://www.econbiz.de/10013038856
Cover Image
Does Loan Renegotiation Differ by Securitization Status? An Empirical Study
Zhang, Yan - 2018
servicer-provided loan renegotiation details, we conduct a comprehensive empirical evaluation of the securitization impact on … renegotiation frequency and effectiveness, do differ by securitization status …
Persistent link: https://www.econbiz.de/10012940518
Cover Image
Bankruptcy Remoteness and Incentive-Compatible Securitization
Chiesa, Gabriella - 2014
Securitization performs two functions. One refers to the risk allocation between the bank and outside investors; the … securitization, bankruptcy remoteness amounts to: i) a seniority structure when debt/deposits (the claim that insist on the bank as a … whole) have the lowest priority; ii) the bank finds it optimal to grant securities maximum protection - securitization …
Persistent link: https://www.econbiz.de/10013058021
Cover Image
Why Don't Lenders Renegotiate More Home Mortgages? Redefaults, Self-Cures, and Securitization
Adelino, Manuel - 2015
frictions in the mortgage securitization process. This paper finds little evidence that the securitization process impeded the …
Persistent link: https://www.econbiz.de/10013039421