misleading investors with respect to the default risk on mortgage backed securities (MBS). This paper argues that, to the … detriment of investors, the CRA did not incorporate information available to securitizers in their ratings of subprime mortgage … Moody's Investor Services projections of loss for these mortgage pools. The percent of principal balances rated triple-A is …

collateral on the loss given default (LGD) parameter in portfolios of mortgage loans. We prove that the average LGD's stress … is crucial for understanding the stress resilience of banks involved in the mortgage business. Furthermore, we derive a …

This study analyses the level of systematic risk for US mortgage portfolio securitisationsbased on the variation of …

commercial mortgage market …

predict the early redemption of Term Asset-Backed Securities Loan Facility (TALF) loans used to purchase commercial mortgage …

attention is paid to the challenges that the real estate market and mortgage loans have been facing during the crisis caused by …