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Market risk of mortgage-backed securities with consistent measures
Chen, Ren-Raw; Liao, Hsien-hsing; Yang, Tyler T. - In: The journal of real estate finance and economics 36 (2008) 1, pp. 121-140
Persistent link: https://www.econbiz.de/10003622062
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Mortgage termination : an empirical hazard model with a stochastic term structure
Deng, Yongheng - In: The journal of real estate finance and economics 14 (1997) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10001222221
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Pricing and Risk Measures of Mortgage Backed Securities with PDE Method
He, XueFei - 2013
mortgage backed securities (MBS). The interest rate path-dependency is handled by an augmented state variable with discrete …
Persistent link: https://www.econbiz.de/10013074894
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Assessing Risk on Subprime Mortgage Backed Securities : Did Credit Rating Agencies Misrepresent Risk to Investors?
Barnett, Harold C. - 2011
misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …
Persistent link: https://www.econbiz.de/10013121890
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …
Persistent link: https://www.econbiz.de/10012978841
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Risk and Mortgage Backed Securities in a Time of Transition
Barnett, Harold C. - 2014
The residential mortgage backed securities (MBS) market expanded and collapsed as securitizers packaged increasingly … many borrowers and first-time homeowners from the mortgage market. An inclusive private label MBS market has not yet …
Persistent link: https://www.econbiz.de/10013061373
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Are covered bonds a substitute for mortgage-backed securities?
Carbó Valverde, Santiago; Rosen, Richard Joseph; … - In: Journal of economic policy reform 20 (2017) 3, pp. 238-253
Persistent link: https://www.econbiz.de/10011815994
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Using commercial mortgage loans to assess risk and return in the lodging sector
Singh, Amrik - In: Tourism management : research, policies, practice 78 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012165766
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Prepayment Risk and Expected MBS Returns
Diep, Peter - 2016
We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …
Persistent link: https://www.econbiz.de/10012455829