We develop a tractable general equilibrium framework of housing and mortgage markets with aggregate and idiosyncratic … risks, costly liquidity and strategic defaults, empirically relevant informational asymmetries, and endogenous mortgage … takes the form of a home equity insurance mortgage (HEIM) that eliminates the strategic default option and insures the …

selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with "low …

recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large … early warning signal of the recent crisis. -- Stochastic optimal control ; dynamic optimization ; mortgage crisis ; Ito …

This study sets up a contingent-claim framework incorporating the default risk of a mortgage insurer and the capital … forbearance of regulators to value mortgage insurance (MI) contracts. We further investigate how critical policy parameters, such … of a catastrophic risk in the housing price. For mortgage insurers with a lower asset-liability ratio, the effect of the …

worsens the agency problem between a residential mortgage servicer and the mortgage-backed security investors, leading to a … channel through which mortgage securitization inhibited loan modifications during the Great Recession …

emergence of mortgage-backed securities. We also document that this relationship changed sign, from negative to positive, in the …

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers … of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research …'s (1986a) model, using it to characterize optimal contracts in the absence of mortgage termination, and then exploring how …