Narrow search
Showing 1 - 10 of 1,999
Cover Image
Agency conflicts in residential mortgage securitization : what does the empirical literature tell us?
Frame, W. Scott - 2016
The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the … origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems …
Persistent link: https://www.econbiz.de/10011623267
Cover Image
Unconventional monetary policy and risk-taking : evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2018
We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs) - a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity...
Persistent link: https://www.econbiz.de/10011895590
Cover Image
Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...
Persistent link: https://www.econbiz.de/10013252762
Cover Image
The failure of supervisory stress testing : Fannie Mae, Freddie Mac, and OFHEO
Frame, W. Scott; Gerardi, Kristopher; Willen, Paul - 2015 - This version: March 2015
's stress test, the models used to predict default and prepayment of 30-year fixed-rate mortgages. …
Persistent link: https://www.econbiz.de/10010510096
Cover Image
The Federal Home Loan Bank System and U.S. housing finance
Frame, W. Scott - 2016
This paper examines the role of the Federal Home Loan Bank (FHLB) System in the U.S. housing finance system. This cooperatively owned government-sponsored enterprise has changed markedly over the past 25 years as a result of membership liberalization and the demise of thrift institutions. Today,...
Persistent link: https://www.econbiz.de/10011417743
Cover Image
The failure of supervisory stress testing : Fannie Mae, Freddie Mac, and OFHEO
Frame, W. Scott; Gerardi, Kristopher; Willen, Paul - 2015
Stress testing has recently become a critical risk management and capital planning tool for large financial institutions and their supervisors around the world. However, the one prior U.S. experience tying stress test results to capital requirements was a spectacular failure: the Office of...
Persistent link: https://www.econbiz.de/10010499577
Cover Image
Peas in a pod? : comparing the U.S. and Danish mortgage finance systems
Berg, Jesper; Bækmand Nielsen, Morten; Vickery, James - 2018
Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and the Danish … covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features …
Persistent link: https://www.econbiz.de/10011857417
Cover Image
Deposit competition and mortgage securitization
McGowan, Danny; Nguyen, Huyen; Schaeck, Klaus - Leibniz-Institut für Wirtschaftsforschung Halle - 2024 - This version: 10.06.2024
We study how deposit competition affects a bank’s decision to securitize mortgages. Exploiting the state …
Persistent link: https://www.econbiz.de/10014546248
Cover Image
Stress testing the German mortgage market
Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019
This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...
Persistent link: https://www.econbiz.de/10012012997
Cover Image
Can official advice improve mortgage-holders' perceptions of switching? : an experimental investigation
Timmons, Shane; Barjaková, Martina; McElvaney, Terence J. - 2019
Encouraging consumers to seek out and switch to lower-rate mortgages is important both for the individual consumer …
Persistent link: https://www.econbiz.de/10011975110