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Collateralization and asset price bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - In: Journal of banking & finance 128 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012821680
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The predictive strength of MBS yield spreads during asset bubbles
Deku, Solomon Y.; Kara, Alper; Semeyutin, Artur - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 111-142
Persistent link: https://www.econbiz.de/10012432632
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Securitisation bubbles : structured finance with disagreement about default correlations
Broer, Tobias - 2016
Persistent link: https://www.econbiz.de/10011482168
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …
Persistent link: https://www.econbiz.de/10003806732
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Securitization of mortgage debt, domestic lending, and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - In: The Canadian journal of economics 45 (2012) 2, pp. 493-508
Persistent link: https://www.econbiz.de/10009572456
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2008 - Dec. 2008
Persistent link: https://www.econbiz.de/10003804136
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Secondary market behavior of European securitization
Jobst, Andreas A. - 2009
Persistent link: https://www.econbiz.de/10003835629
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Implied correlations of iTraxx tranches during the financial crisis
Heidorn, Thomas; Kahlert, Dennis - 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of...
Persistent link: https://www.econbiz.de/10003981941
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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