We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

-- CMBS spread ; commercial mortgage-backed securities …This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as … influence the risks arising from a commercial-mortgage credit agreement as well as marked-risks influenced by economy and marked …