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Essays in financial economics

Shabani, Reza - 2012

Persistent link: https://www.econbiz.de/10011819244

Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016

Persistent link: https://www.econbiz.de/10011457153

Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016

Persistent link: https://www.econbiz.de/10011481947

Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - In: The review of financial studies 31 (2018) 3, pp. 1132-1183

Persistent link: https://www.econbiz.de/10011925304

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

Chernov, Mikhail - 2016

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 …

Persistent link: https://www.econbiz.de/10012456578

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

Chernov, Mikhail - 2016

Persistent link: https://www.econbiz.de/10012996380

On the neutrality of credit-driven asset bubbles

Reicher, Christopher Phillip - 2011

This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a lender such as a government, central bank, or banking sector is willing to lend infinitely against collateral, explosive asset bubbles can form which exactly offset a bubble in...