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Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage securitization. …

Persistent link: https://www.econbiz.de/10013161874

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage securitization …

Persistent link: https://www.econbiz.de/10013168786

Mortgage-Backed Securities and the Financial Crisis of 2008 : A Post Mortem

Ospina, Juan - 2018

We examine the payoﬀ performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed securities, per carefully assembling source data from...

Persistent link: https://www.econbiz.de/10012922138

Asymmetric Information and Vertical Integration in the Commercial Mortgage-Backed Security Market

Chu, Chenghuan Sean - 2013

A commercial mortgage-backed security (CMBS) is a claim on future returns to a bundle of loans. Empirically, loans that are securitized “in-house” -- when the loan originator is vertically integrated with the issuer of the CMBS -- outperform loans securitized by unaffiliated issuers. I...

Persistent link: https://www.econbiz.de/10013090828

Rating agencies and information efficiency : do multiple credit ratings pay off? ; [the case of RMBS rating migration]

Morkoetter, Stefan; Stebler, Roman; Westerfeld, Simone - 2015

We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and...

Persistent link: https://www.econbiz.de/10011343380

Do reputable issuers provide better-quality securitizations?

Deku, Solomon Y.; Kara, Alper; Marqués Ibáñez, David - 2019

We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that,...

Persistent link: https://www.econbiz.de/10011975518

Can capital ratios be the centre of banking regulation : a case study

Marinova, Milena - In: European financial and accounting journal : EFAJ 4 (2009) 4, pp. 8-34

The application, or to be more precise, the misapplication of securitization in the mortgage market had fatal … consequences for the financial sector worldwide. More over securitization techniques enabled single banks to reduce their … financial system. In particular, securitization and related credit risk transfer products were adequately treated neither in …

Persistent link: https://www.econbiz.de/10011459525

Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings

Fabozzi, Frank J. - 2012

In this paper, we provide empirical evidence about the credit factors that impact the pricing of newly issued residential mortgage-backed securities (RMBS) in the U.K. There is an important implication of our findings for the current debate by regulators throughout the world regarding whether...

Persistent link: https://www.econbiz.de/10013099902

Ten Years of Evidence : Was Fraud a Force in the Financial Crisis?

Griffin, John M. - 2020

players in RMBS securitization at the center of the U.S. housing and financial crisis. Underwriting banks facilitated wide …

Persistent link: https://www.econbiz.de/10012850345

Servicing Securitisation through Excessive Foreclosure

Kuong, John Chi-Fong - 2020

How does securitisation distort the foreclosure decision of non-performing mortgages? In a model in which informed securitisers raise liquidity by jointly designing the mortgage-backed security and the foreclosure policy, the authors find that securitisers optimally adopt an excessive...

Persistent link: https://www.econbiz.de/10012856002