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...

The housing prices and the mortgage debt witnessed faster growth than GDP in the run-up of the Great Recession. I document a mortgage market puzzle during the boom period: (1) the mortgage risk measured by the ex post delinquency increased, but (2) the mortgage spread decreased. The default...

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...