individuals may file for bankruptcy or default on their mortgage. Uncertainty in the model is driven by house price shocks …

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized … to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers … of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research …'s (1986a) model, using it to characterize optimal contracts in the absence of mortgage termination, and then exploring how …