the late-2000s. For example, models that assigned credit ratings to mortgage-backed securities (MBS) predicted relative … was in the mid-2000s that competitive pressure spiked among mortgage originators and securitisers, as measured by … mortgage types like no-documentation loans, improving the efficiency of back office processing of mortgages, reducing quality …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

placed debt with investors in the form of mortgage-backed securities. Strong growth led to lax screening and an oversupply of …

Examining the contractual disclosures during the sale of private-label residential mortgage-backed securities (RMBS …

are incorporated into the proposed model. First, default is a Poisson jump process defined as a function of mortgage …