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An empirical test of a two-factor mortgage valuation model : how much do house prices matter?
Downing, Chris; Stanton, Richard; Wallace, Nancy E. - In: Real estate economics : journal of the American Real … 33 (2005) 4, pp. 681-710
Persistent link: https://www.econbiz.de/10003381317
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Securitisation and tranching longevity and house price risk for reverse mortgage products
Yang, Sharon S. - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 648-674
Persistent link: https://www.econbiz.de/10009503501
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Pricing Taiwan Chinatrust Real Estate Mortgage Backed Securities : a case study
Liu, Shu-ing; Li, Jiun-min - In: The IUP journal of financial risk management : IJFRM 8 (2011) 2, pp. 25-40
Persistent link: https://www.econbiz.de/10009295517
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Estimating loan-to-value and foreclosure behavior
Korteweg, Arthur; Sørensen, Morten - 2012
Persistent link: https://www.econbiz.de/10009518338
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An empirical test of a two-factor mortgage valuation model : how much do house prices matter?
Downing, Chris; Stanton, Richard; Wallace, Nancy E. - 2003
Persistent link: https://www.econbiz.de/10001787404
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Pricing Taiwan Chinatrust Real Estate Mortgage Backed Securities : A Case Study
Liu, Shu-Ing - 2012
This is a case study of the valuation of Chinatrust Real Estate Mortgage Backed Securities (RMBS). It constitutes of 17 … mortgage loan groups, and four kinds of securities issued by the Deutsche Bank, Taipei Branch. In this paper, the pricing of …
Persistent link: https://www.econbiz.de/10013108046
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Driving Factors in Pricing European CMBS : Bond, Mortgage and Real Estate Characteristics
Tira, Giovanni Alberto - 2015
This work represents a first attempt to price European commercial mortgage backed securities (CMBS) and our results are …, mortgage and property-related variables in the pricing of European CMBS, along with macro-economic and financial factors used …, followed by real estate and mortgage market conditions. As floater coupon tranches tend to be riskier and exhibit higher …
Persistent link: https://www.econbiz.de/10013039367
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Estimating Loan-to-Value and Foreclosure Behavior
Korteweg, Arthur - 2012
finance (e.g., pricing mortgage-backed securities) …
Persistent link: https://www.econbiz.de/10012460777
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
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 …
Persistent link: https://www.econbiz.de/10015062908
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Estimating Loan-to-Value and Foreclosure Behavior
Korteweg, Arthur G. - 2012
finance (e.g., pricing mortgage-backed securities) …
Persistent link: https://www.econbiz.de/10013109866