This paper presents summary statistics and a preliminary analysis of the success rate of loan modifications made in 2010 and January 2011 to residential mortgages securitized in private-label residential mortgage-backed securities. We find that these more recent private-label loan modifications...

Mortgage-backed securities (MBS) funded the U.S. housing bubble, while the ensuing bust resulted in systemic risk and the global financial crisis of 2007-09. In the run-up to the crisis, MBS pricing failed to reveal the growing credit risk. This article draws lessons from this failure that could...

Mortgage backed securities (MBS) funded the US housing bubble, while the bust resulted in systemic risk and the Global Financial Crisis. The pricing of MBS and the ABX securitization index failed to reveal growing credit risk. This paper draws lessons from this failure for the use of Credit Risk...

We use the new market for Credit Risk Transfers (CRTs) and the landfall of two major hurricanes to study both how markets price default risk from natural disasters, and how U.S. mortgage rates would change in absence of government-backed guarantees. First, we exploit that CRTs differ in the...